Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic ‘heterogeneous autoregressive’ (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were ob...

Ausführliche Beschreibung

Bibliografische Detailangaben

1. Verfasser:	Manish Kumar
Format:	Artigo
Sprache:	Inglês
Veröffentlicht:	OmniaScience 2010-06-01
Schriftenreihe:	Journal of Industrial Engineering and Management
Schlagworte:	realized volatility, forecasting, time series analysis, autoregressive model
Online-Zugang:	http://www.jiem.org/index.php/jiem/article/view/114
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