?url_ver=Z39.88-2004&rft_id=10.2139%2Fssrn.3443259&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=Moderate+and+Extreme+Volatility%3A+Do+the+Magnitude+of+Returns+Matter+for+Forecasting%3F&rft.creator=Clements%2C+Adam&rft.creator=Herrera%2C+Rodrigo&rft.subject=Realized+volatility&rft.subject=HAR+model&rft.subject=moderate+volatility&rft.subject=extreme+volatility&rft.subject=forecasting&rft.description=This+paper+proposes+a+novel+decomposition+of+realized+volatility+(RV)+into+moderate+and+extreme+realized+volatility+estimates.+These+estimates+behave+like+long+and+short+term+components+of+volatility%2C+and+are+very+different+from+either+realized+semi-variance+or+the+continuous+and+jump+components+of+volatility.+Within+the+standard+linear+HAR+framework%2C+a+forecast+comparison+exercise+using+index+returns+shows+that+employing+the+new+decomposition+leads+to+forecasts+that+are+often+superior+to+the+competing+forecasts+based+on+existing+realized+measures.&rft.date=2019-09-19&rft.type=Working+Paper&rft.format=application%2Fpdf&rft.relation=https%3A%2F%2Feprints.qut.edu.au%2F136995%2F1%2F42490210.pdf&rft.rights=free_to_read&rft.relation=doi%3A10.2139%2Fssrn.3443259&rft.relation=Clements%2C+Adam+%26+Herrera%2C+Rodrigo+(2019)+Moderate+and+Extreme+Volatility%3A+Do+the+Magnitude+of+Returns+Matter+for+Forecasting%3F+%5BWorking+Paper%5D+(Unpublished)&rft.id_number=https%3A%2F%2Feprints.qut.edu.au%2F136995%2F&rft.rights=The+Author(s)&rft.rights=This+work+is+covered+by+copyright.+Unless+the+document+is+being+made+available+under+a+Creative+Commons+Licence%2C+you+must+assume+that+re-use+is+limited+to+personal+use+and+that+permission+from+the+copyright+owner+must+be+obtained+for+all+other+uses.+If+the+document+is+available+under+a+Creative+Commons+License+(or+other+specified+license)+then+refer+to+the+Licence+for+details+of+permitted+re-use.+It+is+a+condition+of+access+that+users+recognise+and+abide+by+the+legal+requirements+associated+with+these+rights.+If+you+believe+that+this+work+infringes+copyright+please+provide+details+by+email+to+qut.copyright%40qut.edu.au&rft.identifier=QUT+Business+School%3B+School+of+Economics+%26+Finance