השוואת שיטות

	Value at Risk (VaR)	תנודתיות ממומשת ומודל ה-HAR
תחום	מימון	מימון
משפחה	Regression model	Regression model
שנת המקור	2007	2009
הוגה השיטה	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)
סוג	Financial risk measure	Time-series regression of realized variance
מקור מכונן	Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.
כינויים	VaR, value-at-risk, delta-normal VaR, historical simulation VaR	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV
קשורות	5	5
תקציר	Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework.	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.