Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model
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DOI: 10.1002/for.3260
Abstract: This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model,… read more here.
Keywords: har model; vix; tvp har; model ... See more keywords
Exponentially Weighted Multivariate HAR Model with Applications in the Stock Market
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DOI: 10.3390/e24070937
Abstract: This paper considers a multivariate time series model for stock prices in the stock market. A multivariate heterogeneous autoregressive (HAR) model is adopted with exponentially decaying coefficients. This model is not only suitable for multivariate… read more here.
Keywords: stock market; har model; model; stock ... See more keywords
A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression
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DOI: 10.3390/risks12010012
Abstract: In this study, we proposed two types of hybrid models based on the heterogeneous autoregressive (HAR) model and support vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model,… read more here.
Keywords: har model; volatility; heterogeneous autoregressive; model ... See more keywords