Rogers-Satchell (RS) measure is an efficient volatility measure. This paper proposes quantile RS (QRS) measure to … on Standard and Poor 500 and Dow Jones Industrial Average indices show that volatility estimates using QRS measures …-of-sample forecast. For return models, the constant mean structure with Student-t errors and QRS volatility estimates provides the best …

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …

includes several episodes of high volatility in the oil market. Our evidence shows that penalized regressions provided the best …

We use machine learning methods to predict stock return volatility. Our out-of-sample prediction of realised volatility … realised volatility of 43.8% with an R2 being as high as double the ones reported in the literature. We further show that … machine learning methods can capture the stylized facts about volatility without relying on any assumption about the …

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …

corporate news can help to improve realised volatility forecasting for 23 NASDAQ tickers over the sample from 28 June 2007 to 17 … normal volatility day, the ‘negative' sentiment derived from the news has a clear impact, while ‘news count', and to a lesser … extent, ‘weak modal', and ‘uncertainty' can help to forecast volatility jumps. The depth of the LOB also helps to forecast …