Forecasting of Realised Volatility with the Random Forests Algorithm

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...

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Bibliographic Details
Main Authors: Luong, C., Dokuchaev, Nikolai
Format: Journal Article
Published: MDPI AG 2018
Online Access:http://hdl.handle.net/20.500.11937/71135

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