قارن الطرق

	التقلب المُحقَّق ونموذج HAR	اختبار جوهانسون للتكامل المشترك ونموذج تصحيح الخطأ المتجهي
المجال	التمويل	التمويل
العائلة	Regression model	Regression model
سنة النشأة	2009	1991
صاحب الطريقة	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Søren Johansen
النوع	Time-series regression of realized variance	Multivariate cointegration / vector error correction model
المصدر التأسيسي	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
الأسماء البديلة	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	Johansen test, VECM, vector error correction model, multivariate cointegration
ذات صلة	5	3
الملخص	Realized volatility estimates an asset's variance directly from high-frequency intraday returns rather than from a parametric latent process. The Heterogeneous Autoregressive (HAR) model of Corsi (2009), building on the realized-volatility framework of Andersen, Bollerslev, Diebold and Labys (2003), forecasts this measure by combining daily, weekly, and monthly volatility components, and is a strong alternative to GARCH for volatility prediction.	The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium.