Volatility forecasts play a central role among equity risk measures. Besides traditional statistical models, modern … forecasting techniques, based on machine learning, can readily be employed when treating volatility as a univariate, daily time …-ahead volatility by using high-frequency data. We show that the dilated convolutional filters are ideally suited to extract relevant …

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

threshold GARCH family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low …-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional … numerical example, we find that the proposed more general asymmetric volatility model has better fit, higher persistence of …

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

of asset volatility in developed economies applies also to emerging markets. The important characteristics observed in … asset volatility that we wish to identify and examine in emerging markets include clustering, (the tendency for periodic … regimes of high or low volatility) long memory, asymmetry, and correlation with the underlying returns process. The extent to …

This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock … studies, the range-based volatility forecasts outperform in terms of statistical evaluation, Value-at-Risk calculation, and … option pricing. However, return-based volatility forecasts prove superior in the evaluation of market risk capital …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …