Modeling and forecasting intraday spot volatility

Author

Adam CLEMENTS
Daniel P. A. PREVE, Singapore Management UniversityFollow

Publication Type

Journal Article

Version

publishedVersion

Publication Date

1-2025

Keywords

Volatility forecasting, OK volatility, Intraday volatility, Spot volatility, Multiple‑equation regression

Discipline

Finance

Publication

International Journal of Forecasting

ISSN

0169-2070

Identifier

10.1016/j.ijforecast.2025.11.009

Publisher

Elsevier

Citation

CLEMENTS, Adam and PREVE, Daniel P. A.. Modeling and forecasting intraday spot volatility. (2025). International Journal of Forecasting.
Available at: https://ink.library.smu.edu.sg/soe_research/2828

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Additional URL

https://doi.org/10.1016/j.ijforecast.2025.11.009