applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …

for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … the intraday volatility measure. For forecasting horizons ranging from one day to one week the most accurate out …

(asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We … variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk …

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …