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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| Format: | Final Year Project |
| Language: | English |
| Published: |
Nanyang Technological University
2025
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| Online Access: | https://hdl.handle.net/10356/184491 |
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| Institution: | Nanyang Technological University |
| Language: | English |