Realised Volatility: A Review

The talk will provide a review of realised variance models based on a chapter in the forthcoming book by Hurn, Martin, Phillips and Yu entitled, Financial Econometric Modelling. Topics include a discussion of high frequency data and the relationship between realised variance and integrated variance. Implications of microstructure noise discrete jumps are also discussed. Applications will focus on volatility forecasting based on the HAR model and realised GARCH models. Extensions to realised covariance models and implications of non-synchronous trading are also investigated.