Forecasting realized volatility: a Bayesian model‐averaging approach

Abstract How to measure and model volatility is an important issue in finance. Recent research uses high‐frequency intraday data to construct ex post measures of daily volatility. This paper uses a Bayesian model‐averaging approach to forecast realized volatility. Candidate models include autoregressive and heterogeneous autoregressive specifications based on the logarithm of realized volatility, realized power variation, realized bipower …