Kleen, Onno; Tetereva, Anastasija - 2022
forecasting performance of the HAR forest across multiple forecast horizons and across 186 S&P 500 constituents. This leads to … forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging …, the building blocks of our forest are HAR panel models. The local HAR panel models cover the established linear …