Compara mètodes

	Volatilitat realitzada i el model HAR	Test de Cointegració de Johansen i Model de Correcció d'Errors Vectorial
Camp	Finances	Finances
Família	Regression model	Regression model
Any d'origen	2009	1991
Autor original	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Søren Johansen
Tipus	Time-series regression of realized variance	Multivariate cointegration / vector error correction model
Font seminal	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.
Àlies	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	Johansen test, VECM, vector error correction model, multivariate cointegration
Relacionats	5	3
Resum	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.