Heterogeneous Exponential Model (HExp)

Compute volatility forecasts for an asset using an heterogeneous exponential (HExp) model.

This endpoint requires an API key.

References

• 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
• 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