the simplest approach to estimate volatility is to use the historical standard deviation, realized volatility is a more … time series, we observe long-memory properties in the realized volatility series, which motivates the use of Heterogeneous … Autoregressive (HAR) class models. Therefore, we propose to model and forecast the realized volatility of the EU ETS futures with HAR …

simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly … superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation …