Forecasting Multifractal Volatility

  title={Forecasting Multifractal Volatility},
  author={L. Calvet and Adlai J. Fisher},
This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal. Out model captures the thick tails and volatility persistence exhibited by many financial time series. We assume that the forecaster knows the true generating process with certainty, but only observes past returns. The challenge in this environment is long memory and the corresponding infinite dimension of the state space. We show that a discretized… Expand
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