Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV

Jerome Lahaye and Philip Shaw ()

Economics Letters, 2014, vol. 125, issue 1, 43-46

Abstract: This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV (NPHAR-RV), we are unable to reject the null of linearity.

Keywords: Nonparametric; Realized volatility; HAR; Heterogeneous; Autoregressive (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C22 C52 C58 G1 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:1:p:43-46

DOI: 10.1016/j.econlet.2014.07.003

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