Long memory, realized volatility and HAR models

Arbeitspapier

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its extensions. This paper assesses the separate roles of fractionally integrated long memory models, extended HAR models and time varying parameter HAR models. We find that the presence of the long memory parameter is often important in addition to the HAR models.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 881

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
• Subject: Long memory ; Restricted ARFIMA ; Realized volatility ; HAR model ; Time varying parameters

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Baillie, Richard ; Calonaci, Fabio ; Cho, Dooyeon ; Rho, Seunghwa
• Event: Veröffentlichung
• (who): Queen Mary University of London, School of Economics and Finance
• (where): London
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/210438