Glossary

Browse the glossary of the project

h | m | r

HAR -  Heterogeneous Autoregressive framework.
HAR-RV -  Heterogeneous Autoregressive framework for realized volatility measure.
HAR-RV-X -  Heterogeneous Autoregressive framework for realized volatility measure, using eXogenous variables.
MAE -  Mean Absolute Error.
MCS -  Model Confidence Set.
MSE -  Mean Squared Error.
Realized variance -  Realized variance is the sum of the intraday squared returns.
Realized volatility -  Realized volatility is the square root of the realized variance.