Description Usage Arguments Details Value Author(s) References Examples

HAR estimation

1 2 3 |

`RM` |
A |

`BPV` |
A |

`RQ` |
A |

`periods` |
A |

`periodsJ` |
A |

`periodsRQ` |
A |

`type` |
A |

`insanityFilter` |
A |

`h` |
A |

The estimates for the HARQ and HARQ-J models differ slightly from the results of BPQ (2016). This is due to a small difference in the demeaning approach for the realized quarticity. Here, the demeaning is done with mean(RQ) over all periods.

A `HARModel`

object

Emil Sjoerup

Corsi, F. 2009, A Simple Approximate Long-Memory Model
of Realized Volatility, *Journal of Financial Econometrics*, 174–196.

Bollerslev, T., Patton, A., Quaedvlieg, R. 2016, Exploiting the errors: A simple approach for improved volatility forecasting, *Journal of Econometrics *, vol.192, issue 1, 1-18.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 | ```
#Vanilla HAR from Corsi(2009)
#load data
data("SP500RM")
SP500rv = SP500RM$RV
#Estimate the HAR model:
FitHAR = HAREstimate(RM = SP500rv, periods = c(1,5,22))
#extract the estimated coefficients:
coef(FitHAR)
#plot the fitted values
plot(FitHAR)
#calculate the Q-like loss-function:
mean(qlike(FitHAR))
#HAR-J:
#load data
data("SP500RM")
SP500rv = SP500RM$RV
SP500bpv = SP500RM$BPV
#Estimate the HAR-J model:
FitHARJ = HAREstimate(RM = SP500rv, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1,5,22), type = "HARJ" )
#Calculate the Q-like loss-function:
mean(qlike(FitHARJ))
#HAR-Q of BPQ(2016) with weekly aggregation
#load data
data("SP500RM")
SP500rv = SP500RM$RV
SP500rq = SP500RM$RQ
#Estimate the HAR-Q model:
FitHARQ = HAREstimate(RM = SP500rv, RQ = SP500rq, periods = c(1,5,22),
periodsRQ = c(1,5,22), type = "HARQ", h = 5)
#Show the model:
show(FitHARQ)
#Extract the coefficients:
HARQcoef = coef(FitHARQ)
#HARQ-J of BPQ(2016) with monthly aggregation
#load data
data("SP500RM")
SP500rv = SP500RM$RV
SP500rq = SP500RM$RQ
SP500bpv = SP500RM$BPV
#Estimate the HARQ-J model:
FitHARQJ = HAREstimate(RM = SP500rv, BPV = SP500bpv,
RQ = SP500rq, periods = c(1,5,22),
periodsJ = c(1), periodsRQ = c(1),
type = "HARQ-J", h = 22)
#show the model:
show(FitHARQJ)
``` |

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