Invites you to a

Econometrics seminar presented by

Adam Clements

(Queensland University of Technology)

Using threshold style volatility measures for estimating HAR model coefficients

Wednesday 10 August

14.00pm – 15.30pm

Via Zoom: Meeting Link

Abstract: A new approach for generating forecasts of Realized Volatility (RV) from the Heterogeneous AutoRegressive (HAR) model is introduced. Threshold style volatility measures are used for estimating HAR model coefficients. The coefficients are then used in conjunction with standard RV for forecasting purposes. In addition to existing estimators, a new threshold estimator is proposed which trimming extreme intraday returns based on quantiles in intraday returns. This approach mitigates the effect of spikes observed in RV, meaning that a simple linear HAR model can be estimated under OLS. Significant improvements in forecast accuracy relative to using RV are observed, and the proposed approach even performs as well as non-linear logarithmic models.

 For further information contact: Econometrics seminar series coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)

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