Abstract We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates role El Niño Southern Oscillation (ENSO), as captured by Equatorial Index (EQSOI). Based period covering 1986 January to 2020 December and studying various rolling-estimation windows horizons, we find EQSOI has predictive value for oil-price RV...

This paper sets up a statistical framework for modeling realized volatility (RV) using Dynamic Conditional Score (DCS) model. It first shows how, dataset on stock indices, preliminary analysis of RV, based fitting linear Gaussian model to its logarithm, suggests the use two component dynamic specification. also indicates departure from normality, weekly pattern in data and presence heteroscedas...

We examine, using aggregate and sectoral U.S. data for the period 2008–2020, predictive power of disentangled oil-price shocks Real Estate Investment Trusts (REITs) realized market variance via heterogeneous auto-regressive (HAR-RV) model. In-sample tests show that demand financial-market-risk contribute to a larger extent overall fit model than supply shocks, where in-sample transmission impac...

China Duty Free Group is crucial to the duty-free market in China. The study base on heterogeneous autoregressive (HAR) theory and establishes HAR-RV model analyse volatility for Duty-Free by combining structural destruction weekday effects, thereby establishing new models. It shows that effect contained much predictive information about forecast. Moreover, we apply regression analysis predict ...

A comprehensive comparison of the volatility predictive abilities different classes time-varying models is considered. The include exponential GARCH (EGARCH) and stochastic (SV) using daily returns, heterogeneous autoregressive (HAR) model realized (RV) EGARCH (REGARCH) SV (RSV) both. All are extended to accommodate well-known phenomenon in stock markets a negative correlation between today’s r...

This paper introduces a new speci…cation for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coe¢ cients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for estimating this TVC-HAR model as well as a bootstrap method for constructing con…dence intervals for the time...

Soft tissue artefact (STA) is caused by the relative displacement of markers or sensors mounted on the skin surface with respect to the underlying bones, and is a major source of error in the kinematic measurement of human movement. In particular, the humeral axial rotation (HAR) is affected by STA. The aim of this study was to propose a method for compensating for STA and to validate its effec...

The peroxisome proliferator, WY 14,643 exhibits a pure non-competitive inhibition pattern in the aldehyde reduction and in alcohol oxidation activities of human Aldose reductase (hAR). Fluorescence emission measurements of the equilibrium dissociation constants, Kd, of oxidized (hAR•NADP+) and reduced (hAR•NADPH) holoenzyme complexes display a 2-fold difference between them. Kd values for the d...