Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

International Journal of Forecasting

Volumn 25, Issue 2, 2009, Pages 282-303

  Martens, Martin ^a   van Dijk, Dick ^a   de Pooter, Michiel ^b  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

Day of the week effect; Leverage effect; Long memory; Macroeconomic news announcements; Model confidence set; Realized volatility; Volatility forecasting

Indexed keywords

EID: 61849119121     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2009.01.010     Document Type: Article

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