5. Estimate a HAR model in logarithms on the RV data. Use the next days RV on...

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5. Estimate a HAR model in logarithms on the RV data. Use the next day’s RV on the lefthand side and use daily, weekly, and monthly regressors on the right-hand side. Compare the regression fit from this equation with that from exercise 4.

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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5. Estimate a HAR model in logarithms on the RV data. Use the next days RV on...

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Elements Of Financial Risk Management

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