Title: Forecasting realized volatility: Implied volatility, leverage effects \& the volatility of realized volatility
Authors: Katerina Tsakou - Swansea University (United Kingdom) [presenting]
Abstract: The aim is to assess the forecasting performance of time series models for realized volatility, which take into consideration implied volatility, leverage effects, as well as the volatility of realized volatility. Realized volatility is modeled and forecasted with HAR models for a number of US and European indices. We find that accounting for these stylized facts of volatility leads to a significant improvement of the models' predictive performance. The results suggest that a HAR model which accommodates implied volatility and leverage effects produces the most accurate volatility forecast.