Uses of Class
com.quantfinlib.volatility.HarRv.Fit

Packages that use HarRv.Fit

Package	Description
com.quantfinlib.volatility	Volatility models: EWMA, GARCH-family, HAR-RV, a model-free volatility index and a systematic/idiosyncratic decomposition.

Uses of HarRv.Fit in com.quantfinlib.volatility

Methods in com.quantfinlib.volatility that return HarRv.Fit

Modifier and Type	Method	Description
static HarRv.Fit	HarRv.fitLog(double[] realizedVariance)	Log-HAR: the same regression on ln RV with regressors ln RV_t, ln(mean of 5) and ln(mean of 22).
static HarRv.Fit	HarRv.fitWithErrors(double[] realizedVariance)	OLS fit of the level HAR with Newey-West standard errors (5 lags).

Methods in com.quantfinlib.volatility with parameters of type HarRv.Fit

Modifier and Type	Method	Description
static double	HarRv.forecastLog(double[] realizedVariance, HarRv.Fit fit)	One-step forecast of RV from a log-HAR fit: exp(ŷ + ½σ̂²), the lognormal mean given the residual variance.