Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, Param - Department of Econometrics and Business Statistics, … - 2013
This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coeffcients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...