RePEcEconometrics & Forecasting
Beyond the HAR: A New Benchmark for Volatility Forecasting
Fractional processes outperform discrete models like HAR for forecasting realized volatility at longer horizons by better balancing recent levels against long-run persistence.
Featured in No. 134 on 9 Oct 2026 · 4 days after release
- Released
- 5 Oct 2026
- First featured
- No. 134 · 9 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- RePEc:boa:wpaper:202648
- Authors
- Shuping Shi et al.
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