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| Regressione quantilica× | Volatilità realizzata e il modello HAR× | |
|---|---|---|
| Campo≠ | Econometria | Finanza |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1978 | 2009 |
| Ideatore≠ | Koenker & Bassett | Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility) |
| Tipo≠ | Conditional quantile regression | Time-series regression of realized variance |
| Fonte seminale≠ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196. DOI ↗ |
| Alias≠ | conditional quantile regression, regression quantiles, Kantil Regresyon | realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV |
| Correlati | 5 | 5 |
| Sintesi≠ | 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. |
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