The RATS Software Forum

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

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).