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...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-10-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/11/10/179 |