A practical guide to harnessing the HAR volatility model
The standard heterogeneous autoregressive (HAR) model is perhaps the most popular benchmark model for forecasting return volatility. It is often estimated using raw realized variance (RV) and ordinary least squares (OLS). However, given the stylized facts of RV and well-known properties of OLS, this...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2021
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2487 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3486&context=soe_research |
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| Institution: | Singapore Management University |
| Language: | English |