Heterogeneous Autoregressive (HAR) Model
Advanced volatility forecasting model capturing long memory properties
Model Configuration
If unchecked, absolute returns will be used as volatility proxy.
No analysis results yet
Enter a ticker and click "Run HAR Model" to start.
HAR Model Results
Analysis Summary
Ticker: -
Period: -
Volatility Measure: -
Model Parameters
Daily Lag: -
Weekly Lag: -
Monthly Lag: -
Model Performance
R-squared: -
Forecast Horizon: - days
Estimated Coefficients
| Parameter | Value |
|---|
Volatility Forecast
Fitted vs Actual Volatility
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.