The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … volatility. Moreover, when comparing with a benchmark and controlling for data snooping, we find that the proposed model yields …

forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that …, 60, and 300 seconds), forecast horizons (1, 5, 22, and 66 days) and the use of standard and robust-to-noise volatility … real-time forecasts than the HAR-RV model, although no single extended model dominates. In general, standard volatility …

Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities …. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. This paper … volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy …

We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in … the volatility time series provides us with new insights into the pricing of risk and increases the accuracy of our …