Category Archives: Volatility

Forecasting Realized Volatility with HAR-RV

Among the models proposed to forecast Realized Volatility, the HAR-RV from Corsi stands out in terms of performance and simplicity. “HAR-RV” stands for Heterogenous Autoregressive model of Realized Volatility and is based on the so called “Heterogenous Market Hypothesis”. This states that … Continue reading

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Realized Volatility: measuring volatility with High-Frequency data

Volatility is a feature that is present in any market, and so its analysis and forecast is something that can give you an advantage whatever market you are trading  (and whether you build a strategy around it or you just … Continue reading

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