Augmenting the HAR realized volatility model with options-inferred spot volatility from the rough Heston framework improves forecasting accuracy up to one month ahead.
Quantitative Finance 19, 1995–2013
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On options-driven realized volatility forecasting: Information gains via rough volatility model
Augmenting the HAR realized volatility model with options-inferred spot volatility from the rough Heston framework improves forecasting accuracy up to one month ahead.