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Realized Volatility/Evidence
Method evidence record

Realized Volatility

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.

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Realized Volatility and the Heterogeneous Autoregressive (HAR) Model
Taxonomic method record · regression-model / finance
  • Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196. · DOI 10.1093/jjfinec/nbp001
  • Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003). Modeling and Forecasting Realized Volatility. Econometrica, 71(2), 579-625. · DOI 10.1111/1468-0262.00418
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyJohansen Cointegration Testmachine-suggested · Relational suggestion, not evidence.Same method familyLong-Memory Modelsmachine-suggested · Relational suggestion, not evidence.Same method familyStochastic Volatility Modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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