Adaptive Heterogeneous Autoregressive Models of Realized Volatility Based on a Genetic Algorithm
Figure 3
Out-of-sample forecasts for the CSI 300 index’s volatility in five successive forecast windows. represents the true logarithmic realized volatility. AHAR-RV, HAR-RV, AHAR-RV-J, HAR-RV-J, AHAR-RV-CJ, and HAR-RV-CJ represent the forecasts of the corresponding models, respectively.
