The post has two goals:
(1) Explain how to forecast volatility using a simple Heterogeneous Auto-Regressive (HAR) model. (Corsi, 2002)
(2) Check if higher moments like Skewness and Kurtosis add forecast value to this model.
Tag: Time series
Information Criteria for Autoregression
Some knowledge about the bootstrapping procedure is assumed.
In time series analysis, Information Criteria can be found under every green tree. These are function to help you determine when to stop adding explanatory variables to your model.