Hillebrand, Eric; Medeiros, Marcelo C. - 2010
autoregressive moving average (ARMA) time series models and apply our modeling framework to series of daily realized volatility … volatility of individual stocks of the Dow Jones Industrial Average during the period 1995 to 2005. We find strong evidence of … for nonlinearities in long memory models yields significant performance gains. -- Realized volatility ; structural breaks …