'Har rv model' presentation slideshows

Predictive Models of Realized Variance Incorporating Sector and Market Variance

553 views • 42 slides

HAR-RV with Sector Variance

HAR-RV with Sector Variance. Sharon Lee April 1, 2009. HAR-RV Model. HAR-RV makes use of average realized variance over daily, weekly, and monthly periods. h=1 corresponds to daily periods, h=5 corresponds to weekly periods, h=22 corresponds to monthly periods

681 views • 26 slides

Realized volatility in Microsoft corporate finance activity

Realized volatility in Microsoft corporate finance activity. Sean Puneky March 25 th , 2009. Work So Far. Throughout the seminar, I have focused on drivers of Realized Volatility

266 views • 17 slides

Realized volatility in Microsoft corporate finance activity

Realized volatility in Microsoft corporate finance activity. Sean Puneky March 25 th , 2009. Work So Far. Throughout the seminar, I have focused on drivers of Realized Volatility

235 views • 17 slides

Econ 201

Econ 201. David Kim 3.23.2011. Heterogeneous Autoregressive (HAR) Class of Models. Represent expectation of future variance if all non-variance data is ignored Recently, it has been found that, when forecasting variance, simple models often outperform more sophisticated parametric models

206 views • 9 slides