04-067/4 - Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

• Authors
  Martin Martens, Faculty of Economics, Erasmus Universiteit Rotterdam; Dick van Dijk, Faculty of Economics, Erasmus Universiteit Rotterdam; Michiel de Pooter, Faculty of Economics, Erasmus Universiteit Rotterdam
• Publication date
  June 9, 2004

• Keywords
  Realized volatility; high-frequency data; long memory; day-of-the-week effect; leverage effect; volatility forecasting; smooth transition
• JEL
  C22; C53; G15