. Still, little is known about how far ahead one can forecast volatility. First, in this paper we introduce the notions of the … and forward forecast accuracy curves. Then, by employing a few popular time-series volatility models, we perform a …Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities …

-frequency data and, at the same time produces a direct forecast of the variance at the desired horizon, without iterating. The MIDAS … broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that …

more than a single regime, have performed substantially better than standard methods in terms of volatility and Value … individual models, we evaluate the use of forecast combinations strategies. In our empirical application, procedures that are …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be … used to forecast VaR thresholds under a variety of distributional assumptions. The results suggest that, within the current …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in … of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …

The aim of this paper is to investigate the relevance of structural breaks for forecasting the volatility of daily … returns on BRICS countries (Brazil, Russia, India, China and South Africa). The data set used in the analysis is the Morgan … order moment of the process and persistence in the variance, has been implemented. Some forecast combinations that account …

and counterparty risks does not improve forecast accuracy and the predictability seems to derive from the econometric …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …