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Candidate models include autoregressive and heterogeneous autoregressive specifications based on the logarithm of realized volatility, realized power variation, realized bipower variation, a jump and an asymmetric term. Applied to equity and exchange rate volatility over several forecast horizons, Bayesian model averaging provides very competitive density forecasts and modest improvements in point forecasts compared to benchmark models. We discuss the reasons for this, including the importance of using realized power variation as a predictor. Bayesian model averaging provides further improvements to density forecasts when we move away from linear models and average over specifications that allow for GARCH effects in the innovations to log\u2010volatility. Copyright \u00a9 2009 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1070","type":"journal-article","created":{"date-parts":[[2009,4,28]],"date-time":"2009-04-28T14:06:57Z","timestamp":1240927617000},"page":"709-733","source":"Crossref","is-referenced-by-count":75,"title":["Forecasting realized volatility: a Bayesian model\u2010averaging approach"],"prefix":"10.1002","volume":"24","author":[{"given":"Chun","family":"Liu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"John M.","family":"Maheu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2009,7,3]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00572.x"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618504"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.01.005"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.691"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_11_14_1","doi-asserted-by":"crossref","unstructured":"Barndorff\u2010NielsenOE ShephardN.2005.Variation jumps market frictions and high frequency data in financial econometrics. 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