Translating overnight and intraday returns to improve daily volatility forecast accuracy
Lost in translation: Accuracy versus profitability of intraday, overnight and volume information for volatility-based trading
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Historical patterns in equity prices have been used extensively to devise active trading strategies such as, for instance, momentum1 and technical trading rules.2 However, a consensus view among forecasters is that daily returns are to a large extent unpredictable and it is easier to predict the conditional volatility of the daily return distribution due to persistence (clustering) in volatility.
In recent years a number of studies in high-frequency financial econometrics have
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