Exploring extension of HAR volatility prediction
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...
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| 其他作者: | |
| 格式: | Final Year Project |
| 語言: | English |
| 出版: |
Nanyang Technological University
2025
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/184491 |
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| 機構: | Nanyang Technological University |
| 語言: | English |