I would like to use HAR-RV model (Heterogenous AutoRegressive - Realized Volatility) to predict a 1 minute realised volatility using the HAR model. As regressors I intend to use RV of previous minute, 10 minutes, 30 minutes and 1 hour to allow for some multiscaling as mentioned in Corsi's paper A Simple Approximate Long-Memory Model of Realized Volatility.

I was just wondering why is there no literature for 1-minute HAR? Is it heavily noisy and inappropriate model? Data I use is quite active Bitcoin series for which I'm using log-quote mid-prices as in the original Corsi paper. Before I used e-GARCH but looking at the results I do not suppose it is the best way forward.

Many thanks for suggestions.



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