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    An Extensive Analysis of FTSE 100 Realized Volatility with Different Information Channels
    (Alanya Alaaddin Keykubat University, 2025) Korkusuz, Burak
    This paper investigates the influence of external information flows from the European Union and the United States on the volatility of the FTSE 100 index, using realized variance (RV) data derived from 5-minute intraday intervals. By categorizing external factors into UK-specific, neighbouring, and wider international groups, the study integrates these variables into the HAR-RV model to improve the accuracy of volatility forecasts. The empirical results indicate that interntional and neighbouring countries’ factors, particularly US market indicators such as the S&P 500 and NASDAQ, significantly impact FTSE 100 volatility, whilst domestic UK factors contain no additional information. The international Kitchen-Sink model, which includes all international variables, proves to be the most effective in the in-sample and out-of-sample forecasting. The use of high-frequency data is crucial in this context, as it allows for more precise measurement and forecasting of market volatility. These findings emphasize the importance of incorporating a broad range of external factors in modelling and forecasting the volatility of internationally-oriented stock indices such as the FTSE 100.