02-068/4 - Stock Index Volatility Forecasting with High Frequency Data

• Authors
  Eugenie Hol, University of Birmingham; Siem Jan Koopman, Free University Amsterdam
• Publication date
  June 28, 2002

• Keywords
  ARFIMA; Financial market volatility; GARCH; Realised volatility; Stochastic volatility; Stock index returns; Unobserved ARMA component
• JEL
  C22; C53; G15