Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? (Q4563388)
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scientific article; zbMATH DE number 6879713
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? |
scientific article; zbMATH DE number 6879713 |
Statements
Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? (English)
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1 June 2018
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HAR model
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long-memory
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realized volatility
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volatility forecasting
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