Modeling and forecasting of realized volatility: evidence from Brazil

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Using intraday data for the most actively traded stocks of BOVESPA, this work has considered tworecently developed models in the literature of the estimation and forecasting of realized volatility; TheHeterogeneous Autorregressive Model of Realized Volatility (HAR-RV), developed by Corsi (2009) andthe Mixed Data Sampling (MIDAS-RV), developed by Ghysels et al. (2004). Through statistical comparisonof forecasts in-sample and out-of-sample, it was found that superior results of the MIDAS-RV modeloccurred only for the in-sample forecasting. However, for out-of-sample forecasts no statistically differentresults were found between the models. Also, there are evidences that the use of realized volatility inducesnormality in standardized returns.

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