Realized volatility forecast of financial futures using time-varying HAR latent factor models

Realized volatility forecast of financial futures using time-varying HAR latent factor models

We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information cri...

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Bibliographic Details
Main Authors: Jiawen Luo, Zhenbiao Chen, Shengquan Wang
Format: Article
Language:English
Published: KeAi Communications Co., Ltd. 2023-06-01
Series:Journal of Management Science and Engineering
Subjects:
Realized volatility forecast
HAR latent factor models
Bayesian approaches
Time-varying
Stock index
Treasury bond futures
Online Access:http://www.sciencedirect.com/science/article/pii/S2096232022000580

Internet

http://www.sciencedirect.com/science/article/pii/S2096232022000580

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