Essays about: "HAR-RV"

Found 5 essays containing the word HAR-RV.

  1. 1. Volatility Forecasting - A comparative study of different forecasting models.

    University essay from

    Author : Emil Sturesson; Anton Wennström; [2023-06-29]
    Keywords : Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

    Abstract : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. READ MORE

  3. 2. The Intertwining of Sectoral Stock Market Volatility and Macroeconomic Fundamentals - A study of Sweden's sectoral indices

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jonathan Bark; Melker Lundberg; [2021]
    Keywords : HAR-RV; Stock Sectors; Realized Volatility; Business and Economics;

    Abstract : The stock market has come to play a larger role in many people's lives as years pass and its accessibility has come to be exponentially easier for many. Investment in publicly listed companies has become a foundation of saving and a way of managing wealth for the general public. READ MORE

  4. 3. CAN DEEP LEARNING BEAT TRADITIONAL ECONOMETRICS IN FORECASTING OF REALIZED VOLATILITY?

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Filip Björnsjö; [2020]
    Keywords : Deep Learning; Econometrics; volatility;

    Abstract : Volatility modelling is a field dominated by classic Econometric methods such as the Nobel Prize winning Autoregressive conditional heteroskedasticity (ARCH) model. This paper therefore investigates if the field of Deep Learning can live up to the hype and outperform classic Econometrics in forecasting of realized volatility. READ MORE

  5. 4. Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Agermark; Visar Hoti; [2016-10-04]
    Keywords : forecasting; implied volatility; realized volatility; jump process; bipower variation; tripower variation; high-frequency data; FX;

    Abstract : In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denominated exchange rates, EUR/SEK and USD/SEK, with the purpose to analyze if ex-post or ex-ante forecasting models produce the most accurate forecasts. High-frequency exchange rate data is employed in order to construct the ex-post Heterogeneous Autoregressive Model of Realized Volatility, HAR-RV, as well as a modi ed model using the bipower and tripower variation to separate the continuous sample path (C) and the jump component (J) of realized volatility, HAR-CJ. READ MORE

  6. 5. Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Niklas Lindeke; [2015]
    Keywords : Volatility; Brent Crude; Oil; HAR-RV; Implied Volatility; Business and Economics;

    Abstract : This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. READ MORE