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Quantitative Finance · Glossary

What is HAR model?

Definition 18.8 Quantitative Methods · Chapter 18 — Volatility Models

The HAR model (Corsi, 2009) regresses tomorrow’s realised variance on today’s, on the average of the last five days and on the average of the last twenty-two: RVt+1=b0+bdRVt+bwRVt(5)+bmRVt(22)+et+1\mathrm{RV}_{t+1} = b_0 + b_d\mathrm{RV}_t + b_w\mathrm{RV}_t^{(5)} + b_m\mathrm{RV}_t^{(22)} + e_{t+1}.

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