HAR model explained: Heterogeneous autoregressive volatility (Excel)

Corsi (2009) proposed a very simple and intuitive model for the dynamics of variance that utilises realised variance and can be estimated using OLS. It relies on intraday or high-frequency data and is very useful for variance forecasting. Today we are discussing the concepts behind the Heterogeneous Autoregressive Volatility model (HAR) of Corsi (2009), its implementation in Excel, and its assumptions and limitations. Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Econometrics! Please consider supporting NEDL on Patreon: https://www.patreon.com/NEDLeducation