-frequency data and, at the same time produces a direct forecast of the variance at the desired horizon, without iterating. The MIDAS … broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that …

This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …

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

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …

more than a single regime, have performed substantially better than standard methods in terms of volatility and Value … individual models, we evaluate the use of forecast combinations strategies. In our empirical application, procedures that are …

Several procedures to forecast daily risk measures in cryptocurrency markets have been recently implemented in the … models, we evaluate the use of several forecast combining strategies. Our results, based on a comprehensive backtesting …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …In the past decade, the popularity of realized measures and various linear models for volatility forecasting has … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using …