FORECASTING THE END-OF-THE-DAY REALIZED VARIANCE

A large package of information is being reflected in stock pricesduring a short period after opening. Moreover, the start-of-the-day (morning)volatility has a strong impact on the price variability during all the day. Inthis connection, the question is whether the morning realized variance calculated as the sum of morning squared intraday returns can be useful in forecasting the daily realized variance (end-of-the-day volatility). In the paper,we apply three different methods of forecasting the daily realized variancefor stocks quoted on the Warsaw Stock Exchange Our findings show that themorning realized variance provides valuable information that can be used inforecasting the daily realized variance