A practical guide to harnessing the HAR volatility model

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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書目詳細資料
Main Authors:	CLEMENTS, Adam, PREVE, Daniel P. A.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2021
主題:	Volatility forecasting Realized variance HARHARQ Robust regression Weighted least squares Box-Cox transformation Forecast comparisons QLIKE MSE VaR Model confidence set Econometrics
在線閱讀:	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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