Forecasting Realized Volatility A Review

Andrea Bucci ()

Journal of Advanced Studies in Finance, 2017, vol. 8, issue 2, 94-138

Abstract: Modeling financial volatility is an important part of empirical finance This paper provides a literature review of the most relevant volatility models with a particular focus on forecasting models We firstly discuss the empirical foundations of different kinds of volatility The paper then analyses the non parametric measure of volatility named realized variance and its empirical applications A wide range of realized volatility models both univariate and multivariate is presented such as time series models MIDAS and GARCH MIDAS models Realized GARCH and HEAVY models We further discuss forecasting evaluation methods specifically suited for volatility models

Date: 2017
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Working Paper: Forecasting realized volatility: a review (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:srs:jasf00:v:8:y:2017:i:2:p:94-138

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