Neural network heterogeneous autoregressive models for realized volatility
نویسندگان
چکیده
منابع مشابه
Analysis of Realized Volatility in Tehran Stock Exchange using Heterogeneous Autoregressive Models Approach
Objective: The present study aims atinvestigating the behavior of realized volatility for high-frequency data of Tehran Stock Index from April28th, 2012 to August 8th, 2018. Methods: Three different types of HAR models including of HAR-RV-CJ, HAR-RV and HAR-RVJ were used to analyze the Realized Volatility. Results: The obtained results of three diverse models revealed that the estimated Reali...
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2018
ISSN: 2383-4757
DOI: 10.29220/csam.2018.25.6.659