Exploring extension of HAR volatility prediction

• المؤلف الرئيسي: Jiang, Yue
• مؤلفون آخرون: Seok Young Hong
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2025
• الموضوعات: Mathematical Sciences; Volatility prediction; Inverse standard deviation weighting
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/184491

This paper proposes the HAR-weighted model, introducing an inverse standard deviation weighting scheme to the HAR-RV framework - a methodological innovation previously unexplored in the volatility forecasting literature. Our approach systematically mitigates the model’s sensitivity to high-volatilit...