The paper aims to suggest the best volatility forecasting model for stock markets in Turkey. The findings of this paper … support the superiority of high frequency based volatility forecasting models over traditional GARCH models. MIDAS and HAR …-RV-CJ models are found to be the best among high frequency based volatility forecasting models. Moreover, MIDAS model performs …

improvements in forecasting performance. The overnight returns exhibit some in-sample forecasting power. However, the accuracy …

This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both … return volatility in South Africa. However, based on the out-of-sample forecasting exercise, we find that even though there …-horizon forecasting of stock return volatility. …

inflation forecasts. Our forecasting approach is based on extracting the factors from the subcomponents of the CPI at the … disaggregated price data improves forecasting performance. The forecasts of the factor models that extract the information from the …

-of-sample forecasting ability to examine the significance of each macro variable in explaining the stock returns behaviour. In addition, we …