Data mining is being actively applied to stock market since 1980s. The various aspects of stock market to which data mining has been applied include predicting stock indices, predicting stock prices, portfolio management, portfolio risk management, trend detection, designing recommender systems etc. The various algorithms and methods which have been used for the same include neural networks, as...

Volatility forecasts aim to measure future risk and they are key inputs for financial analysis. In this study, we forecast the realized variance as an observable of volatility several major international stock market indices accounted different predictive information present in jump, continuous, option-implied components. We allowed spillovers markets by using a multivariate modeling approach. ...