Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV (NPHAR-RV), we are unable to reject the null of linearity.
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