Hi Tom,
Can the HAR model (and variations) be applied to generate daily VaR and ES forecasts, long and short positions?
Corsi, F. (2009) A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics, 7(2), 174–196.
Amarjit
HAR model
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TomDoan
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- Joined: Wed Nov 01, 2006 4:36 pm
Re: HAR model
Not really. That takes volatility (estimated from high frequency data) as the input data and it's proposed as a simple alternative to models with fractional differencing (which have a lot of technical issues).