Exploring extension of HAR volatility prediction

• Main Author: Jiang, Yue
• Other Authors: Seok Young Hong
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2025
• Subjects: Mathematical Sciences; Volatility prediction; Inverse standard deviation weighting
• Online Access: 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...