EconPapers    
Economics at your fingertips  
 

A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi ()

Journal of Financial Econometrics, 2009, vol. 7, issue 2, 174-196

Abstract: The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components realized over different time horizons and thus termed Heterogeneous Autoregressive model of Realized Volatility (HAR-RV). In spite of the simplicity of its structure and the absence of true long-memory properties, simulation results show that the HAR-RV model successfully achieves the purpose of reproducing the main empirical features of financial returns (long memory, fat tails, and self-similarity) in a very tractable and parsimonious way. Moreover, empirical results show remarkably good forecasting performance. Copyright The Author 2009. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oupjournals.org, Oxford University Press.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (768) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbp001 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196

Ordering information: This journal article can be ordered from
http://www.oup.co.uk/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by RenÈ Garcia and Eric Renault

More articles in Journal of Financial Econometrics from Society for Financial Econometrics Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ( this e-mail address is bad, please contact ) and Christopher F. Baum ().

 
Page updated 2021-02-23
Handle: RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196