方法证据记录
HAR-RV Model
The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility.
源记录
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Heterogeneous Autoregressive Model of Realized Volatility
分类方法记录 · regression-model / finance
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