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Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure

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Figure

Figure 1: Autocorrelations of four proxies for the daysfive-minute realized volatility, andby n = 31,
Table 1: Log-Garch (eq. (19)) parameter estimates based on log-Gaussian QML. The full sample is splitinto four subsamples
Figure 2: Full-sample log-likelihood values for equation (19) where RAVover [0the downward 5− is replaced by r-power variation, RPV 5−, for various powers r.The power r is varied.5, 3].
Table 2: In-sample model comparison for full sample, n = 31, . . . , 4575. Model comparison criteria are thelog-likelihood and the R2’s from the logarithmic Mincer-Zarnowitz regression (21), where the volatility proxyis either RV 5 or H( ˆw)
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