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 …

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation … that is embedded in the time-varying parameter path. We illustrate our findings in a volatility analysis for monthly …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …