In this paper we forecast realized volatility using a very liquid equity traded on Bucharest Stock Exchange, Property Fund (FP) which is a company that manages Romanian government real-estate properties and at that time had almost 40% market capitalization. Many research paper use strndard version of HAR model, with or without jumps to forecast volatility on markets with a high level of liquidity. Our result, based on Diebold an Mariano test show that forecast performance increase if we use a modified version of HAR model, allowing for average trade duration form prevoius day to play an important role in analysis.
Copyright: © 2018 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
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