simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The …In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic … "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using …

problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step …-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized …-GARCH), and a detailed forecasting and backtesting investigation is performed. …