The paper addresses the problem of forecasting realized volatility in the context of HAR-type models. Some extensions of the basic HAR-RV model are discussed. The forecasting performance of the considerec HAR-type models are compared in terms of suitable loss functions, by using the Model Confidence Set procedure, on two real datasets.
HAR-type Models for Volatility Forecasting: An Empirical Investigation
Albano Giuseppina
Membro del Collaboration Group
;
2020-01-01
Abstract
The paper addresses the problem of forecasting realized volatility in the context of HAR-type models. Some extensions of the basic HAR-RV model are discussed. The forecasting performance of the considerec HAR-type models are compared in terms of suitable loss functions, by using the Model Confidence Set procedure, on two real datasets.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
