Forecasting realized volatility: A review

Forecast methods for realized volatilities are reviewed. Basic theoretical and empirical features of realized volatilities as well as versions of estimators of realized volatility are briefly investigated. Major forecast models featuring the empirical aspects of persistency and asymmetry are discussed in terms of forecasting models for which the heterogeneous autoregressive (HAR) model is one of the most basic one in the recent literature. Forecast methods addressing the issues of jump, break, implied volatility, and market microstructure noise are reviewed. Forecasting realized covariance matrix is also considered.