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

respective forecast accuracy and test whether the forecasted information are relevant to equity or debt markets. The results, in … terms of forecast accuracy in firm-level tests. This study finds that the opposing performance outcome appears to be driven …

efficient to forecast all types of time series data and most specially, the out-of-sample forecasting of the time series that … exhibits clustering volatility. This gap leads to introduce a competing model to catch up with the clustering volatility and …

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 …

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies … computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility …

volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in … accounts for a faster mean reversion when volatility is high. We argue that heteroskedasticity (volatility of volatility) and a … that when the DGP is a (MS-)AMEM, such terms turn out spuriously significant in a HAR. Forecast performance of the (MS …

high-frequency data better and produce more accurate forecasts than competing realized volatility and option …