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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 regres...
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| Autore principale: | |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
OmniaScience
2010-06-01
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| Serie: | Journal of Industrial Engineering and Management |
| Soggetti: | |
| Accesso online: | http://www.jiem.org/index.php/jiem/article/view/114 |
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