The dicey regulatory environment surrounding the cryptocurrency sector has raised the concern of investors and potential investors to study the volatility dynamics of cryptocurrencies’ returns in the present scenario. The present treatise is an attempt to study the volatility dynamics of most...

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...