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

We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales …, ranging from a few minutes to one day. Our main finding is that intraday volatility is remarkably rough and persistent. What … is more, by further studying daily realized volatility measures of close to two thousand individual US equities, we find …

volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more …

volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in … accounts for a faster mean reversion when volatility is high. We argue that heteroskedasticity (volatility of volatility) and a …

Section C, we provide the formulas of the marginal impact of volatility on correlations for each VDCC model. In Section D, we … detail the estimation method and the results behind our findings about the long-run and short-run effects of the volatility …

return volatility. It is often estimated using raw realized variance (RV) and ordinary least squares (OLS). However, given … based volatility proxy (RV) with a proxy based on free and publicly available low-frequency data (logarithmic range). In an …

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 …

This paper examines, for the first time, the performance of machine learning models in realised volatility forecasting … marginally. However, the good forecasting performance of ML models is relevant only for normal volatility days (i.e. 90% of the …

We provide new empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both … return and volatility processes. Leverage and volatility feedback effects of the S&P 500 price and volatility dynamics are … continuous volatility. Granted that jumps in both return and volatility are important components for generating the two effects …

Volatility clustering, long-range dependence, non-Gaussianity and anomalous scaling are all well-known stylized facts …