Compara mètodes

	Volatilitat realitzada i el model HAR	Model de volatilitat estocàstica (Heston)
Camp	Finances	Finances
Família	Regression model	Regression model
Any d'origen	2009	1993
Autor original	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Steven L. Heston
Tipus	Time-series regression of realized variance	Continuous-time stochastic volatility model
Font seminal	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.	Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343.
Àlies	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV)
Relacionats	5	5
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 stochastic volatility model is a continuous-time option-pricing and risk framework in which volatility follows its own random process rather than staying constant. The Heston model, introduced by Steven Heston in 1993, gives the variance a mean-reverting square-root (CIR) dynamic and yields a closed-form option price; it is the continuous-time counterpart of GARCH.