GARMA, HAR and Rules of Thumb for Modelling Realized Volatility

This paper features an analysis of the relative effectiveness, in terms of the Adjusted R-Square, of a variety of methods of modelling realized volatility (RV), namely the use of Gegenbauer processes in Auto-Regressive Moving Average format, GARMA, as opposed to Heterogenous Auto-Regressive HAR mode...

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Bibliographic Details
Main Authors: David Edmund Allen, Shelton Peiris
Format: Article
Language:English
Published: MDPI AG 2023-10-01
Series:Risks
Subjects:
Online Access:https://www.mdpi.com/2227-9091/11/10/179