0456184 20240103211849.020160207235959.9 84955063029 000369473300030 10.1016/j.ejor.2015.12.010 12 s. P cav_un_epca*02528930377-22172511 (2016)329-340Elsevier Realized GARCH Wavelet decomposition Jumps Multi-period-ahead volatility forecasting cav_un_auth*0242028 Ekonometrie Department of Econometrics E E Department of Econometrics 33 Baruník Jozef UTIA-B A Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0327877 Ekonometrie Department of Econometrics E E Department of Econometrics 33 Křehlík Tomáš UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101217 Ekonometrie Department of Econometrics E E Department of Econometrics 34 Vácha Lukáš UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2016/E/barunik-0456184.pdf cav_un_auth*0292677 GA13-32263S GA ČR cav_un_auth*0308905 612955 EC This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates the behaviour of traders at corresponding investment horizons. The proposed methodology is moreover able to account for impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of general- ized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis. AH 2017 3 4 A hod 4ah 20231122141530.0 RVO:67985556 http://hdl.handle.net/11104/0260444 cav_un_auth*0308308 Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague IES FSV UK CZ 1 Department of Econometrics UTIA-B 50200 OPERATIONS RESEARCH & MANAGEMENT SCIENCE S 1* Article Management|Operations Research Management Science OPERATIONSRESEARCH&MANAGEMENTSCIENCE 3.582 0.723 9.4 0.04474 1.095 38936 2.489 Q1 2.737 678 Q1 82.913 92.2 Q1 Q1 92.169 2016 Soubory v repozitáři: barunik-0456184.pdf 84955063029 SCOPUS 000369473300030 WOS cav_un_epca*0252893 European Journal of Operational Research 0377-2217 1872-6860 Roč. 251 č. 1 2016 329 340 Elsevier