… We examine the VaR performance of realized volatility and GARCH type … realized volatility
models. Overall, empirical evidence support the use of an asymmetric HAR realized volatility …

… the existing studies predicting realized volatility and implied volatility indices using artificial
… Generally, we find the efficacy of AI and ML methods for volatility prediction to be highly …

… Using both simulated as well as real data, we compare the forecasting performance of the
LMSV model for forecasting realized volatility (RV) to that of a linear long-memory model fit to …

… literature has developed in several directions, one of which focuses on modeling and
predicting alternative measures of realized volatility. In this section, we first summarize recent …

… no a priori reason to sample the realized volatility at daily scale. Given the length … realized
volatility to model the increment process. Future work along these lines will include predicting …

… or IVs may improve the accuracy in predicting the global volatility, we use a “kitchen sink”
model that contains all of the international realized (implied) volatilities in the benchmark of the …

… It is widely known that the daily returns of financial assets, especially of stocks, are difficult,
if not impossible, to predict, although the volatility of the returns seems to be relatively easier …

… the previous time slot’s realized volatility to predict current volatility. Another model is more
… realized volatility to make prediction. The models are referenced from other kagglers’s work. …

… formal links between realized volatility and the conditional … for the logarithmic daily realized
volatilities perform admirably. … and correspondingly accurate quantile predictions. Our results …

Basing on the features of emerging Chinese stock market, this article discusses whether
sharply deteriorating liquidity propels the stock market into a “crisis” state and investigates the …