Tag Archives: Forecasting Models

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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Forecasting models and optimal parameters

I was participating at a conference yesterday, and one of the panellists observed that in order for a model to have a good predictive power its parameters have to be stable over time. The reason behind this is that any forecasting method bases its … Continue reading

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