Higashide, Takuo; Tanaka, Katsuyuki; Kinkyō, Takuji; … - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18
This study analyzes the importance of the Tokyo Stock Exchange Co-Location dataset (TSE Co-Location dataset) to forecast the realized volatility (RV) of Tokyo stock price index futures. The heterogeneous autoregressive (HAR) model is a popular linear regression model used to forecast RV. This...
