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| Volatilità realizzata e il modello HAR× | Test di Cointegrazione di Johansen e Modello a Correzione d'Errore Vettoriale× | |
|---|---|---|
| Campo | Finanza | Finanza |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2009 | 1991 |
| Ideatore≠ | Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility) | Søren Johansen |
| Tipo≠ | Time-series regression of realized variance | Multivariate cointegration / vector error correction model |
| Fonte seminale≠ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Alias | realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Correlati≠ | 5 | 3 |
| Sintesi≠ | 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. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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