HAR Model Heterogeneous Autoregressive Volatility

Forecast realized volatility using the HAR model: RV_t+1 = beta0 + beta_d*RV_t + beta_w*RV_w + beta_m*RV_m + epsilon. Daily, weekly, and monthly components capture multi-scale persistence.

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Annual Rate (%)
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$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Forecast realized volatility using the HAR model: RV_t+1 = beta0 + beta_d*RV_t + beta_w*RV_w + beta_m*RV_m + epsilon. Daily, weekly, and monthly components capture multi-scale persistence

Each component has a specific meaning:

  • HAR model: RV_t+1 = beta0 + beta_d*RV_t + beta_w*RV_w + beta_m*RV_m + epsilon — The har model: rv_t+1 = beta0 + beta_d*rv_t + beta_w*rv_w + beta_m*rv_m + epsilon recorded for the scenario being assessed.

Note: Interpret the har volatility model result against the thresholds and context described above.

How to Use

Enter the HAR model: RV_t+1 = beta0 + beta_d*RV_t + beta_w*RV_w + beta_m*RV_m + epsilon for the scenario you are assessing. Forecast realized volatility using the HAR model: RV_t+1 = beta0 + beta_d*RV_t + beta_w*RV_w + beta_m*RV_m + epsilon. Daily, weekly, and monthly components capture multi-scale persistence. Use the har volatility model result to inform your calculation.

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Frequently Asked Questions