Title: Volatility forecasting
Description: "Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades.  This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications.  Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts.  Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management.  Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively.  Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases.  Section 8 concludes briefly"--National Bureau of Economic Research web site.
Subjects: Economic forecasting, Risk