Сравнение методов

	Реализованная волатильность и модель HAR	Модель ARIMA (авторегрессионная интегрированная скользящая средняя)	Экспоненциальный GARCH (EGARCH)
Область	Финансы	Эконометрика	Эконометрика
Семейство	Regression model	Regression model	Regression model
Год появления	2009	2015	1991
Автор метода	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Box & Jenkins (Box-Jenkins methodology)	Nelson
Тип	Time-series regression of realized variance	Univariate time-series model	Conditional volatility model (asymmetric GARCH variant)
Основополагающий источник	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Другие названия	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Связанные	5	5	4
Сводка	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.	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.