A practical guide to harnessing the HAR volatility model

• Main Authors: CLEMENTS, Adam, PREVE, Daniel P. A.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Volatility forecasting; Realized variance; HARHARQ; Robust regression; Weighted least squares; Box-Cox transformation; Forecast comparisons; QLIKE; MSE; VaR; Model confidence set; Econometrics
• 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
• Institution: Singapore Management University

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...