Çağlar Sözen

Leak-safe functional forecasting of daily variance: window-to-curve predictors for DAX Rogers–Satchell variance

Abstract We study one-step-ahead forecasting of daily DAX equity-index variance under an explicit information-availability design. The target is the Rogers–Satchell range-based variance proxy computed from open–high–low–close (OHLC) data, and predictors are daily log returns, wit...