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...

In the international monetary system, gold plays a significant role. Predicting prices is useful and unique skill for anybody. As result, improving one's ability to anticipate futures critical. The study presented in this paper relates predictions, based on heterogeneous autoregressive (HAR) theory, Heterogeneous Autoregressive model of Realized Volatility (HAR-RV model), coupled with gold's da...

This paper combines the Heterogeneous Autoregressive Realised Volatility (HAR-RV) model and Markov Regime Switching (MRS) approach to estimate forecast volatility of energy futures contracts traded at Tokyo Commodity Exchange (TOCOM). The proposed MRS-HAR-RV allows dynamics realised change as market conditions change. dataset consists intraday prices for gasoline, kerosene crude oil futures. Es...

Given that jumps in the implied volatility index (VIX) lead to rapid changes level of volatility, they may contain significant predictive information for realized variance (RV) stock returns. Against this backdrop, present study proposes extend heterogeneous autoregressive (HAR) model using content time-varying occurring VIX. We find VIX have positive impacts on RV S&P 500 and proposed HAR-RV a...

Abstract We apply the heterogeneous autoregressive realized volatility (HAR-RV) model to examine importance of investor happiness in predicting daily gold returns. estimate by employing intraday data providing both in-sample and out-of-sample predictions. Our results reveal that is negatively linked happiness. Moreover, our show extending HAR-RV include significantly improves accuracy forecasts...

This study examines the impact of crude oil volatility jumps on realized (RV) green and dirty stocks in India. In doing so, we first estimate time-varying market implied index (OVX) then augment heterogeneous autoregressive (HAR) process with information such jumps. Our sample runs from December 2012 to April 2022, which includes 2328 data points. Comparing a range HAR-type models, find that pr...

As an important part of the international futures market, copper price prediction is for financial market research. This paper selects high-frequency data every 5 minutes from database and uses HAR-RV model based on realized volatility. By introducing investor sentiment day week effects, we have established three new types non-uniform autoregressive models. Empirical analysis shows that weekly ...

This study analyzes the importance of Tokyo Stock Exchange Co-Location dataset (TSE dataset) to forecast realized volatility (RV) stock price index futures. The heterogeneous autoregressive (HAR) model is a popular linear regression used RV. expands HAR using TSE dataset, full-board and market volume based on random forest method, which machine learning algorithm nonlinear model. new dataset. o...

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a controversial issue. This article improves our understanding of this issue by characterizing the condi...

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a controversial issue. This article improves our understanding of this issue by characterizing the condi...