Volatility forecasting with machine learning and intraday commonality

no code implementations • 8 Feb 2022 • Chao Zhang, Yihuang Zhang, Mihai Cucuringu, Zhongmin Qian

We apply machine learning models to forecast intraday realized volatility (RV), by exploiting commonality in intraday volatility via pooling stock data together, and by incorporating a proxy for the market volatility.

BIG-bench Machine Learning