A practical guide to harnessing the HAR volatility model

• المؤلفون الرئيسيون: CLEMENTS, Adam, PREVE, Daniel P. A.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2021
• الموضوعات: Volatility forecasting; Realized variance; HARHARQ; Robust regression; Weighted least squares; Box-Cox transformation; Forecast comparisons; QLIKE; MSE; VaR; Model confidence set; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2489; https://ink.library.smu.edu.sg/context/soe_research/article/3488/viewcontent/SSRN.pdf
• المؤسسة: 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...