Timeline for Volatility forecast for 5-minute frequency data
Current License: CC BY-SA 4.0
9 events
| when toggle format | what | by | license | comment | |
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| Jul 30, 2022 at 8:30 | answer | added | lehalle | timeline score: 0 | |
| Jul 27, 2022 at 17:10 | answer | added | Trader2B | timeline score: 1 | |
| Jul 27, 2022 at 13:50 | comment | added | wlog | Thanks Pleb, amazing references! | |
| Jul 27, 2022 at 10:27 | comment | added | Pleb |
As with the GARCH models, the HAR model has an extensive family of alternative parameterizations attempting to explain different stylized facts inherent in intraday data. One of such alternative models, is the Semi-variance HAR (aka. SHAR) model of Sheppard that disentangles the realized variance into realized semi-variances. I have an answer here detailing the SHAR model. You might find some ad-hoc Python implementations of the models on Github. It also seems that the arch package has a HAR implementation you might be able to use. [2/2]
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| Jul 27, 2022 at 10:25 | comment | added | Pleb | There is a good selection of different high frequency (HF) volatility models documented in academic literature. One of them is the Realized GARCH model that extends the original GARCH model by incorporating additional information procured from HF data. I talk about it, in my answer here which also contains links to the original paper and papers of alternative HF models (HAR, HEAVY). Another model is the Heterogeneous Autoregressive (HAR) model of Corsi, that is also gaining popularity due to its increased parsimony. [1/2] | |
| Jul 27, 2022 at 9:57 | history | edited | wlog |
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| Jul 27, 2022 at 9:57 | history | edited | wlog |
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| S Jul 27, 2022 at 9:42 | review | First questions | |||
| Jul 27, 2022 at 11:22 | |||||
| S Jul 27, 2022 at 9:42 | history | asked | wlog | CC BY-SA 4.0 |