Modeling and Forecasting Realized Volatility

@article{Andersen2001ModelingAF,
  title={Modeling and Forecasting Realized Volatility},
  author={T. Andersen and Tim Bollerslev and F. Diebold and Paul Labys},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2001}
}
This paper provides a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and distributions rely on restrictive and complicated parametric multivariate ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility… Expand
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