You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Thank you for a great video, which really explains the key points of this model! Correct me if I am wrong, but should the interactions terms, the RQ terms, be averages of respectively the weekly and monthly RQ's, just like the RV terms in the original HAR model? At least this is how I read the RQ terms in Bollerslevs paper from 2016. But again thank you got the video! 🙂
Hi Filip, and thanks for the suggestion! I will definitely consider it when I move back into Python tutorials (going to be soon, however I am going through somewhat of an EViews phase now as you might have noticed :) ).
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Thank you for a great video, which really explains the key points of this model! Correct me if I am wrong, but should the interactions terms, the RQ terms, be averages of respectively the weekly and monthly RQ's, just like the RV terms in the original HAR model? At least this is how I read the RQ terms in Bollerslevs paper from 2016. But again thank you got the video! 🙂
Awesome! Can you please do this model in python? It would be quite helpful
Hi Filip, and thanks for the suggestion! I will definitely consider it when I move back into Python tutorials (going to be soon, however I am going through somewhat of an EViews phase now as you might have noticed :) ).