results concerning the accuracy and the difficulty of outperforming out-of-sample the heterogeneous autoregressive (HAR) model …

–2006) from two different sites. The performance of HAR model is evaluated by comparing its prediction with the classical … that the HAR model outperforms both the ARIMA model and ANN model in terms of root mean square error (RMSE), mean absolute … error (MAE), and Mean Absolute Percentage Error (MAPE). When compared to the conventional models, the new HAR model can …

For testing error variance instability, a test based on CUSUM squares of the residuals in HAR model is constructed and …

Man Institute’s realized library and augment for each foreign equity market the benchmark HAR model with lagged U …