Beyond the HAR: A New Benchmark for Volatility Forecasting

Shuping Shi, Jun Yu and Chen Zhang
Additional contact information
Shuping Shi: Macquarie University
Jun Yu: University of Macau
Chen Zhang: Sun Yat-sen University

No 202648, Working Papers from University of Macau, Faculty of Business Administration

Abstract: Continuous time models provide a stronger benchmark for realized volatility forecasting than the discrete time models standard in empirical finance. Using 111 U.S. equities and ETFs, we compare continuous time fractional processes, ARFIMA, and HAR models on a common footing. Three families perform similarly at the daily horizon but separate at longer horizons, where continuous time models lead statistically and economically. The ranking reflects how each model balances recent volatility against its long run level. The continuous time advantage grows with volatility persistence and diminishes as jumps account for more variation.

Keywords: Realized volatility; Continuous time models; Discrete time models; Forecasting; Economic utility (search for similar items in EconPapers)
Pages: 68 pages
Date: 2026-09
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations:

Published in UM-FBA Working Paper Series

Downloads: (external link)
https://fba.um.edu.mo/wp-content/uploads/RePEc/doc/202648.pdf (application/pdf)

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:boa:wpaper:202648

Access Statistics for this paper

More papers in Working Papers from University of Macau, Faculty of Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Carla Leong ().