Heterogeneous AutoRegressive Model (HAR)

Compute volatility forecasts for an asset using an heterogeneous autoregressive (HAR) model.

This endpoint requires an API key.

References

• Fulvio Corsi, A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics, Volume 7, Issue 2, Spring 2009, Pages 174–196
• Adam Clements, Daniel P.A. Preve, A Practical Guide to harnessing the HAR volatility model, Journal of Banking & Finance, Volume 133, 2021
• Giuseppe Buccheri, Fulvio Corsi, HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies, Journal of Financial Econometrics, Volume 19, Issue 4, Fall 2021, Pages 614–649
• Tim Bollerslev, Benjamin Hood, John Huss, Lasse Heje Pedersen, Risk Everywhere: Modeling and Managing Volatility, The Review of Financial Studies, Volume 31, Issue 7, July 2018, Pages 2729–2773