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Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

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Figure

Figure 1: Unconstrained Weights on Lagged Daily Predictors
Figure 2: MIDAS and ABDL Log Volatility prediction Four Week Horizon
Figure 3: MIDAS Volatility Four Weeks Horizon and Daily Regressors
Figure 4: MIDAS Weights One Week Horizon and Intra-Daily Regressors
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