Forecasting financial market volatility is an important task that has absorbed the interest of many academics in the late twentieth and early twenty-first centuries. This strong interest of the academic world reflects the importance of volatility in several financial and business activities....

Analysts have claimed over the last years that the volatility of an asset is caused solely by the random arrival of new information about the future returns from the underlying asset. It is a common belief that volatility is of great importance in finance and it is one of the critical factors...