Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?

DOI10.1080/03610918.2016.1249882zbMath1462.62552OpenAlexW2548608078MaRDI QIDQ4563388

Dong Wan Shin, Hyejin Song, Jae Keun Yoo

Publication date: 1 June 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1249882

zbMATH Keywords

realized volatilitylong-memoryvolatility forecastingHAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Forecasting realized volatility: a review

Cites Work

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• Threshold bipower variation and the impact of jumps on volatility forecasting
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
• Infinite-order, long-memory heterogeneous autoregressive models
• Realized Volatility: A Review

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