HAR model

Questions and discussions on Time Series Analysis
ac_1
Posts: 467
Joined: Thu Apr 15, 2010 6:30 am

HAR model

Unread post by ac_1 »

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
TomDoan
Posts: 7777
Joined: Wed Nov 01, 2006 4:36 pm

Re: HAR model

Unread post by TomDoan »

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).
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