Forecasting realised volatility using ARFIMA and HAR models
Recent literature provides mixed empirical evidence with respect to the forecasting performance of ARFIMA and HAR models. This paper compares the forecasting performance of both models using high frequency data of 100 stocks representing 10 business sectors for the period 2000-2010. We allow for dif...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Routledge
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |