. This paper features an analysis of the relative effectiveness of a
variety of methods of modelling Realised Volatility (RV), namely:
the use of Gegenbaur processes in Auto-Regressive Moving Average format,
GARMA, as opposed to Heterogenous Auto-Regressive HAR models and simple rules of thumb. The analysis is applied to two data sets that feature the RV
of the S&P500 index, as sampled at 5 minute intervals, provided by
the Oxford Man RV database. The GARMA model does perform slightly
better than the HAR model, but both models are matched by a simple
rule of thumb regression model based on the application of lags of
squared, cubed and quartic, demeaned daily returns.