Tag Archives: Realized Volatility

Forecasting Realized Volatility with HAR-RV

Posted on May 12, 2012 by mathtrading

Among the models proposed to forecast Realized Volatility, the HAR-RV from Corsi stands out in terms of performance and simplicity. “HAR-RV” stands for Heterogenous Autoregressive model of Realized Volatility and is based on the so called “Heterogenous Market Hypothesis”. This states that … Continue reading →

Posted in Volatility | Tagged , , , | 11 Comments

Realized Volatility: measuring volatility with High-Frequency data

Posted on May 7, 2012 by mathtrading

Volatility is a feature that is present in any market, and so its analysis and forecast is something that can give you an advantage whatever market you are trading  (and whether you build a strategy around it or you just … Continue reading →

Posted in Volatility | Tagged , , | 1 Comment