financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

This paper evaluates the VaR forecasting performance of the Markov regime switching (MRS) based volatility models …, allowing for EGARCH effects. As is argued in the literature, this extension of the MRS model model may improve its forecasting … of high level of negative skewness. The paper provides clear cut evidence that the VaR forecasting performance of the MRS …

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in …

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear … heterogeneous autoregressive and other models of realized volatility. …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …