Measuring actual daily volatility from high frequency intraday returns of the S&P futures and index observations
作者：
Highlights：
• 10 min frequency RV series are utilized for the volatility forecasts.
• The most accurate forecasts are based on the RV series of the futures returns.
• The series of the filtered returns improve efficiency of the forecasts.
摘要
•10 min frequency RV series are utilized for the volatility forecasts.•The most accurate forecasts are based on the RV series of the futures returns.•The series of the filtered returns improve efficiency of the forecasts.
论文关键词：AR(FI)MA model,Realized volatility,High frequency observations,Skewed distribution,G17
论文评审过程：Received 2 May 2014, Revised 1 September 2015, Accepted 2 September 2015, Available online 10 September 2015, Version of Record 20 October 2015.
论文官网地址：https://doi.org/10.1016/j.eswa.2015.09.001
