Investing using Python: Garman-Klass volatility estimator and HAR-RV model for realized volatility using Python

HAR-RV ("Heterogeneous AutoRegressive model fro Realized Volatility") is pretty simple model based on the so called “Heterogeneous Market Hypothesis” which states that financial markets move as an interaction of market players acting at different frequencies (like, intraday, day, week or month).1 The HAR-RV(1) formula: For the sake of interest I've tried too feed it with […]