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Long Memory, Realized Volatility and HAR Models

Richard T. Baillie, Fabio Calonaci, Dooyeon Cho and Seunghwa Rho
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Richard T. Baillie: Michigan State University, USA, Kings College, University of London, UK & Rimini Center for Economic Analysis, Italy
Fabio Calonaci: Queen Mary University of London

No 881, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its extensions. This paper assesses the separate roles of fractionally integrated long memory models, extended HAR models and time varying parameter HAR models. We find that the presence of the long memory parameter is often important in addition to the HAR models.

Keywords: Long memory; Restricted ARFIMA; Realized volatility; HAR model; Time varying parameters (search for similar items in EconPapers)
JEL-codes: C22 C31 (search for similar items in EconPapers)
Date: 2019-01-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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