harstep function

HAR(3)-RV model MIDAS weights specification

harstep(p, d, m)

Arguments

• p: parameters for Almon lag
• d: number of the coefficients
• m: the frequency, currently ignored.

Returns

vector of coefficients

Details

MIDAS weights for Heterogeneous Autoregressive model of Realized Volatilty (HAR-RV). It is assumed that month has 20 days.

References

Corsi, F., A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics Vol. 7 No. 2 (2009) 174-196

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys