• Media type: E-Article
  • Title: Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
  • Contributor: Baillie, Richard T.; Calonaci, Fabio; Cho, Dooyeon; Rho, Seunghwa
  • imprint: Wiley, 2019
  • Published in: Journal of Time Series Analysis
  • Language: English
  • DOI: 10.1111/jtsa.12470
  • ISSN: 0143-9782; 1467-9892
  • Keywords: Applied Mathematics ; Statistics, Probability and Uncertainty ; Statistics and Probability
  • Origination:
  • Footnote:
  • Description: <jats:p>The presence of long memory in realized volatility (<jats:italic>RV</jats:italic>) is a widespread stylized fact. The origins of long memory in <jats:italic>RV</jats:italic> have been attributed to jumps, structural breaks, contemporaneous aggregation, nonlinearities, or pure long memory. An important development has been the heterogeneous autoregressive (<jats:italic>HAR</jats:italic>) model and its extensions. This article assesses the separate roles of fractionally integrated long memory models, extended <jats:italic>HAR</jats:italic> models and time varying parameter <jats:italic>HAR</jats:italic> models. We find that the presence of the long memory parameter is often important in addition to the <jats:italic>HAR</jats:italic> models.</jats:p>