Comparer des méthodes

	Régression quantile	Volatilité réalisée et le modèle HAR
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	1978	2009
Auteur d'origine	Koenker & Bassett	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)
Type	Conditional quantile regression	Time-series regression of realized variance
Source fondatrice	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.
Alias	conditional quantile regression, regression quantiles, Kantil Regresyon	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV
Apparentées	5	5
Résumé	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.	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.