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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 need to forecast for half of my sample data to comp...
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 in
another loop but need to forecast for half of my sample dat...