Forecasting of Realised Volatility with the Random Forests Algorithm
The paper addresses the forecasting of realised volatility for financial time series using the heterogeneous autoregressive model (HAR) and machine learning techniques. We consider an extended version of the existing HAR model with included purified implied volatility. For this extended model, we ap...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-10-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1911-8074/11/4/61 |