HAR-CJ model

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Fabio Zanini on 12 Nov 2018

Hello everyone, i'm trying to forcast the realised variance of S&P500 Index using the HAR-CJ model:

Regression_mat_HAR_JCRV=horzcat(Cont_d_past_obs,Cont_wk_past_obs,Cont_mon_past_obs,... (Jump_d_past_obs),Jumps_wk_past_obs,Jumps_mon_past_obs);

HAR_RV_JC_Linear=fitlm(Regression_mat_HAR_JCRV,RV_future,'linear').

Actually i'm trying to understand how can i find the RV_Future, can enyone help me?

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