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International Journal of Academic Research in Economics and Management Sciences

Open Access Journal

ISSN: 2226-3624

Forecasting Daily Volatility on Bucharest Stock Exchange using HAR Model

Ramona Radu

http://dx.doi.org/10.6007/IJAREMS/v5-i1/2140

Open access

In this paper we forecast realized volatility using a very liquid equity traded on Bucharest Stock Exchange, Property Fund (FP) which is a company that manages Romanian government real-estate properties and at that time had almost 40% market capitalization. Many research paper use strndard version of HAR model, with or without jumps to forecast volatility on markets with a high level of liquidity. Our result, based on Diebold an Mariano test show that forecast performance increase if we use a modified version of HAR model, allowing for average trade duration form prevoius day to play an important role in analysis.

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(Radu, 2016)
Radu, R. (2016). Forecasting Daily Volatility on Bucharest Stock Exchange using HAR Model. International Journal of Academic Research in Economics and Management Sciences, 5(1), 46–52.