Using high-frequency transaction data, we evaluate the forecasting performance of several dynamic ordinal-response time series models with generalized autoregressive conditional heteroscedasticity. The specifications account for three components; leverage effects, in-mean effects and moving...

We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...