asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the … assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …

We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in … forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that … threshold bipower variation measures. Incorporating signed finite and infinite jumps generates significantly better real …

their forecasting performance. Our findings reveal significant heterogeneity in ETM volatility patterns, which challenge …

using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear …

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in … the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the … these findings, and “time-span robust” tests indicate that the prevalence of jumps is not as universal as might be expected. …

This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks …