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2012 Jul 12
0
Writing HAR-RV-CJ Model?
I am trying to write a loop to forecast realized volatility over successive days for the purpose of VaR prediction using the HAR-RV-CJ model which is as follows: log(RV_t+1) = ?_0 + ?_CD log(CV_t) + ?_CW log(CV_t-5) + ?_CM log(CV_t-22) + ?_JD log(J_t) + ?_JW J_t-5 + ?_JM J_t-22 + e_t where RV is realized volatility, CV is continuous volatility and J is the jump which is RV - CV, _t is subscript for time t, which is one day basically I know how to compute ex post CV and J, and RV and have done in another loop but ne...
2012 Jul 12
0
HAR-RV-CJ Moedel
I am trying to write a loop to forecast realized volatility over successive days for the purpose of VaR prediction using the HAR-RV-CJ model which is as follows: log(RV_t+1) = ?_0 + ?_CD log(CV_t) + ?_CW log(CV_t-5) + ?_CM log(CV_t-22) + ?_JD log(J_t + 1) + ?_JW log(J_t-5 + 1) + ?_JM log(J_t-22 + 1) + e_t where RV is realized volatility, CV is continuous volatility and J is the jump which is RV - CV, _t is subscript for time t, which is one day basically I know how to compute ex post CV and J, and RV and have done...