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	Realizovaná volatilita a model HAR	Model ARIMA (Autoregressive Integrated Moving Average)	Modely s dlhou pamäťou (ARFIMA, FIGARCH)
Odbor	Financie	Ekonometria	Financie
Rodina	Regression model	Regression model	Regression model
Rok vzniku	2009	2015	1980
Tvorca	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)	Box & Jenkins (Box-Jenkins methodology)	Granger & Joyeux (ARFIMA); Baillie, Bollerslev & Mikkelsen (FIGARCH)
Typ	Time-series regression of realized variance	Univariate time-series model	Fractionally integrated time series model
Pôvodný zdroj	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	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.
Ďalšie názvy	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	ARFIMA, FIGARCH, fractionally integrated models, fractional integration
Príbuzné	5	5	4
Zhrnutie	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).	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.