This paper argues that the inherent data problems make precise point identification of realized correlation difficult … robust approach to inference especially when the realized correlation is used for estimating other risk measures. We forecast … find that the bounds provide good predictive coverage of the realized correlation for both 1- and 10-step forecasts even in …

growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional … Heteroskedasticity (GARCH) model is a well-known mathematical tool for predicting volatility. Nonetheless, the Realized-GARCH model has … been particularly under-explored in the literature involving cryptocurrency volatility. This study emphasizes an …

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in … (HEAVY-type) models that use realized volatilities yield economic value and significantly surpass the (GARCH) models that use … only daily returns for daily and weekly horizons. Among the HEAVY-type models, for a dataset of twenty-nine stocks, those …