Gong, Xu; Lin, Boqiang - In: Journal of management science and engineering 8 (2023) 2, pp. 191-213
This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility … volatility based on existing HAR models. The estimation results of the models showed that day-of-the-week effects only improve … the fitting ability of HAR models for electricity volatility forecasting at the daily horizon, whereas structural breaks …