generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

typically observed in measures of financial market volatility in a tractable fashion. The extensions decompose conditional … dependency structure of volatility. This leads to substantial improvements in empirical fit and predictive ability at both short … and long horizons relative to the original REGARCH. A volatility-timing trading strategy shows that capturing volatility …

The rough path-dependent volatility (RPDV) model (Parent 2022) effectively captures key empirical features that are … characteristic of volatility dynamics, making it a suitable choice for volatility forecasting. However, its complex structure … the RPDV model a competitive tool for volatility forecasting.To achieve this objective, the article proposes an innovative …

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 …