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Our analysis identifies that the models have momentum and mean reversion effects, and that they adjust quickly to structural breaks in the level of the volatility process. We study how to estimate the models and how they perform through the credit crunch, comparing their fit to more traditional GARCH models. We analyse a model\u2010based bootstrap which allows us to estimate the entire predictive distribution of returns. We also provide an analysis of missing data in the context of these models. Copyright \u00a9 2010 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1158","type":"journal-article","created":{"date-parts":[[2010,1,27]],"date-time":"2010-01-27T05:15:05Z","timestamp":1264569305000},"page":"197-231","source":"Crossref","is-referenced-by-count":384,"title":["Realising the future: forecasting with high\u2010frequency\u2010based volatility (HEAVY) models"],"prefix":"10.1002","volume":"25","author":[{"given":"Neil","family":"Shephard","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Kevin","family":"Sheppard","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2010,1,27]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_9_5_1","unstructured":"AndersenTG BollerslevT MeddahiN.2006.Market microstructure noise and realized volatility forecasting. 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