Módszerek összehasonlítása

	Megvalósult volatilitás és a HAR modell	Hosszú memóriájú modellek (ARFIMA, FIGARCH)
Tudományterület	Pénzügy	Pénzügy
Módszercsalád	Regression model	Regression model
Keletkezés éve	2009	1980
Megalkotó	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Granger & Joyeux (ARFIMA); Baillie, Bollerslev & Mikkelsen (FIGARCH)
Típus	Time-series regression of realized variance	Fractionally integrated time series model
Alapmű	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.	Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15-29.
Alternatív nevek	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	ARFIMA, FIGARCH, fractionally integrated models, fractional integration
Kapcsolódó	5	4
Összefoglaló	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.	Long-memory models are fractional-integration methods that capture genuine long memory through a hyperbolically decaying autocorrelation structure. ARFIMA, introduced by Granger and Joyeux (1980), models long memory in return series, while FIGARCH, introduced by Baillie, Bollerslev and Mikkelsen (1996), captures long memory in volatility series; the parameter d measures the degree of fractional integration.