Salīdzināt metodes

	Realizētā volatilitāte un HAR modelis	Johansena kointegrācijas tests un Vektora kļūdu korekcijas modelis
Nozare	Finanses	Finanses
Saime	Regression model	Regression model
Izcelsmes gads	2009	1991
Autors	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Søren Johansen
Tips	Time-series regression of realized variance	Multivariate cointegration / vector error correction model
Pirmavots	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.	Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
Citi nosaukumi	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	Johansen test, VECM, vector error correction model, multivariate cointegration
Saistītās	5	3
Kopsavilkums	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.