The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … volatility. Moreover, when comparing with a benchmark and controlling for data snooping, we find that the proposed model yields …

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 … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities …. Still, little is known about how far ahead one can forecast volatility. First, in this paper we introduce the notions of the … spot and forward predicted volatilities and propose to describe the term structure of volatility predictability by the spot …

forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that …, 60, and 300 seconds), forecast horizons (1, 5, 22, and 66 days) and the use of standard and robust-to-noise volatility … real-time forecasts than the HAR-RV model, although no single extended model dominates. In general, standard volatility …

the financial crisis, suggesting that an extreme volatility period requires models that can adapt quickly to turmoil …

Volatility has been used as an indirect means for predicting risk accompanied with an asset. Volatility explains the … variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the … different volatility estimators and determined the most efficient volatility estimator. The study described the accuracy of the …

Volatility had been used as an indirect means for predicting risk accompanied with the asset. Volatility explains the … variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the … different volatility estimators and determined the efficient volatility estimator. The study described the accuracy of …

There is evidence that volatility forecasting models that use intraday data provide better forecast accuracy as … fills this gap in the literature and extends previous studies on forecasting stock market volatility in several important …, we use forecast horizons ranging from 1 day to 6 months. Third, we evaluate the precision of volatility forecast provided …

Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities …. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. This paper … volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy …