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Heterogeneous Autoregressive (HAR) Model

Advanced volatility forecasting model capturing long memory properties

Model Configuration

If unchecked, absolute returns will be used as volatility proxy.

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Enter a ticker and click "Run HAR Model" to start.

References

  • Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174-196.
  • Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. Journal of Financial Econometrics, 5(1), 1-20.