We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …

We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed … correlation between daily changes of spot rates and daily changes of volatility levels quoted by interbank brokers.In order to … define both short term and long term influence of spot rate on market volatility, ECM models were calibrated. Models show …

The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through … long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN …

Accurate volatility forecasting is a key determinant for portfolio management, risk management and economic policy. The … the predicted variable is the intra-day realized volatility. The forecasting evaluation is valid for standardized forecast … models with residuals that are leptokurtically and asymmetrically distributed. Hence, the realized volatility forecasting …

-day and intra-day volatility models by estimating the AR(1)-GARCH(1,1)-skT and the AR(1)-HAR-RV-skT frameworks, respectively … intra-day volatility model is not as appropriate as it was expected to be for each of the different asset classes; stock … performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts and …

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 …