We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance, and the overnight squared return. For four...

We explore the possibility of structural breaks in realized volatility with observed long-memory properties for the daily Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rate realized volatility. We find that structural breaks can partly explain the persistence of realized...

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance, and the overnight squared return. For four...