ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility … clustering and asymmetry characterize the logarithmic realized volatility of both indices. ARFIMAX model with time … superior next trading day's realized volatility forecasts …

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

volatility of individual stock returns and exchange rate returns. …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …

by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …

Empirical findings related to the time series properties of stock returns volatility indicate autocorrelations that … suggesting that it may be an important feature of stock returns volatility. Nevertheless, it remains a conjecture that a model … stochastic volatility model incorporating both a random level shift and a short-memory component indeed provides a better in …

distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …