Exploring extension of HAR volatility prediction

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...

Saved in:

書目詳細資料
主要作者:	Jiang, Yue
其他作者:	Seok Young Hong
格式:	Final Year Project
語言:	English
出版:	Nanyang Technological University 2025
主題:	Mathematical Sciences Volatility prediction Inverse standard deviation weighting
在線閱讀:	https://hdl.handle.net/10356/184491
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

A practical guide to harnessing the HAR volatility model
由: CLEMENTS, Adam, et al.
出版: (2021)

A practical guide to harnessing the HAR volatility model
由: CLEMENTS, Adam, et al.
出版: (2021)

Volatility Prediction of Stock Price Using News Articles: A Hybrid Approach
由: NGUYEN PHUONG DANG TOAN
出版: (2015)

Calibration of Stochastic Volatility Models: A Tikhonov Regularization Approach
由: TANG LING
出版: (2015)

Modeling Multivariate volatilities via most predictable factor
由: FU JINGYU
出版: (2010)

A classrom time table management system using searching techniques emphasizing on A flexible scoring scheme : A case study of faculty of engineering, Prince of Songkla University
由: Warakorn Sitthirit
出版: (2023)

ANALYSIS OF TRADING BOUNDARIES IN PORTFOLIO SELECTION AND CALIBRATION OF STOCHASTIC LOCAL VOLATILITY MODELS
由: LI JINTAO
出版: (2025)

International Volatility Risk and Chinese Stock Return Predictability
由: CHEN, Jian, et al.
出版: (2017)

Beijing temples and their social matrix – A GIS reconstruction of the 1912–1937 social scape
由: ZHANG, Peiyao, et al.
出版: (2016)

REALIZING THE FUTURE: VOLATILITY FORECASTING WITH REALIZED MEASURES, IMPLIED VOLATILITY AND COMPOSITE MODELS
由: VALERIE TANG YI LING
出版: (2018)

PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS
由: MEUNIER MATTHIEU RAPHAEL
出版: (2023)

On the robustness of the positive relation between expected idiosyncratic volatility and expected return
由: FU, Fangjian
出版: (2010)

Sentiment-aware volatility forecasting
由: Xing, Frank Z., et al.
出版: (2021)

NON-VOLATILE PHOTONIC MEMORY BASED ON THIN FILM FERROELECTRICS
由: CHEN YUE
出版: (2025)

Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
由: YU, Jun
出版: (2004)

Volatility models of currency futures in developed and emerging markets
由: Sequeira, J.M., et al.
出版: (2013)

Volatility spillovers and linkages in Asian stock markets
由: CHOW-TAN, Hwee Kwan
出版: (2017)

Impacts of news on stock's return volatility under different economic conditions: evidence from stock exchange of Thailand.
由: Jiranart Sutthirat
出版: (2014)

Towards a universal self-normalized moderate deviation
由: Jing, B.-Y., et al.
出版: (2014)

Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
由: Privault, Nicolas, et al.
出版: (2017)

Volatility changes and property stock returns - An analysis of major Asian countries
由: WANG HUAN
出版: (2010)

Weighted and Standardized Total Environmental Quality Index (TEQI) Approach in Assessing Environmental Components (Air, Soil and Water)
由: Pham, Ngoc Ho
出版: (2017)

Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
由: YU, Jun
出版: (2004)

Volatility spillovers and linkages in Asian stock markets
由: CHOW, Hwee Kwan
出版: (2017)

Jump and volatility risk premiums implied by VIX
由: Duan, J.-C., et al.
出版: (2013)

Minimum mse weights of adjusted summary estimator of risk difference in multi-center studies
由: Chukiat Viwatwongkasem, et al.
出版: (2015)

Bayesian testing volatility persistence in stochastic volatility models with jumps
由: LIU, Xiaobin, et al.
出版: (2014)

Adjoint tomography of ambient noise data and teleseismic P waves : methodology and applications to central California
由: Wang, Kai, et al.
出版: (2021)

ON MULTITERMINAL SOURCE CODING: REFINED ASYMPTOTICS, MISMATCH AND STREAMING
由: ZHOU LIN
出版: (2018)

Stochastic volatility - Fast mean-reverting stochastic volatility processes in finance
由: NICOLAS GUIBERT
出版: (2010)

New results on modular inversion hidden number problem and inversive congruential generator
由: Xu, Jun, et al.
出版: (2020)

On-chip non-volatile reconfigurable THz varifocal metalens
由: Zhang, Shoujun, et al.
出版: (2024)

Efficient estimation of integrated volatility functionals under general volatility dynamics
由: LI, Jia, et al.
出版: (2021)

Adaptive Estimation of Autoregressive Models with Time-Varying Variances
由: XU, Ke-Li, et al.
出版: (2008)

Semiparametric modelling of financial volatility
由: GUAN JUNWEI
出版: (2019)

The Term Structure and S&P100 Model-Free Volatilities
由: TING, Hian Ann, Christopher, et al.
出版: (2013)

Volatility models of currency futures in developed and emerging markets
由: SEQUEIRA, J. M.,, et al.
出版: (2004)

Volatility interdependence in European real estate securities markets: Who is the most influential?
由: Liow, K.H.
出版: (2014)

TOWARD GENERAL SOLID-STATE MATERIALS REPRESENTATION FOR DATA-DRIVEN PROPERTY PREDICTION AND INVERSE DESIGN
由: TIAN SIYU
出版: (2022)

Variance Risk Premium and Bond Return Predictability
由: YIN XIMING
出版: (2020)