Regression model
Realized Volatility and the HAR Model
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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Sources
- Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196. DOI: 10.1093/jjfinec/nbp001 ↗
- Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003). Modeling and Forecasting Realized Volatility. Econometrica, 71(2), 579-625. DOI: 10.1111/1468-0262.00418 ↗