An Empirical Study on the Day-of-the-Week Effect of China's Iron Ore Futures Based on the HAR-RV Model

Iron ore future has an extreme influence on global financial markets. Thus, we are supposed to consider the day-of-the-week effect, which is important volatility of iron price, although less existing literature considers it. The effect added basic heterogeneous autoregressive (HAR) model so that a new type established. empirical results show higher accuracy in forecasting price and contains much information. Moreover, positive futures’ volatility, more significant short medium-term. This paper uses improved HAR predict future.