HAR-RV
Install and import#
npm install fintech-algorithmsimport { calculate } from "fintech-algorithms/volatility-and-covariance/conditional-volatility/har-rv";Signature#
calculate(data)Watch one elevated session enter and leave three overlapping horizons. Supplied-parameter educational reference; no fitted performance claim.
Parameters#
| Name | Type | Notes |
|---|---|---|
data | TopicInput | See data-contract/CONTRACT.md. |
Returns#
TopicResult
Structured result with readiness, values, parameters, and diagnostics.
Warm-up#
The first depends on window or model order positions are null prefix until minimum history exists.
Errors#
- When required data is missing, non-finite, malformed, or out of range — raises ContractError / Error
Complexity: time O(n),
space Full diagnostic trace retained for teaching; see implementation for observation/window/matrix dimensions.
Worked example#
executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.
Input#
{
"realized_variance": [0.0001, 0.0001, 0.0001, 0.0001, 0.0001, 0.0001],
"parameters": {
"beta0": 0,
"beta_daily": 0.5,
"beta_weekly": 0.3,
"beta_monthly": 0.2
}
}Call#
calculate(data)Returns#
object with 8 fields: topic_id, title, parameters, series, latest, ready, ready_at, diagnostics
{
"topic_id": "D10-F03-A06",
"title": "HAR-RV",
"parameters": {
"beta0": 0,
"beta_daily": 0.5,
"beta_weekly": 0.3,
"beta_monthly": 0.2
},
"series": [null, null, null, null, null, null],
"latest": {
"index": 21,
"forecast_index": 22,
"forecast_raw": 0.00027072727272727274,
"forecast": 0.00027072727272727274,
"valid": true,
"daily": 0.0004,
"weekly": 0.00016,
"monthly": 0.00011363636363636366,
"contributions": [0, 0.0002, 0.000048, 0.000022727272727272733],
"baseline": 0.0004
},
"ready": true,
"ready_at": 21,
"diagnostics": {
"causal": true,
"input_count": 22,
"fitted_parameters": false
}
}Diagrams#
Calculation flow#
HAR-RV — calculation-flow
flowchart TD
N0["Observe RV through current session"]
N1["Build 1 / 5 / 22 session features"]
N2["Multiply by supplied coefficients"]
N3["Forecast next session; flag negative raw value"]
N0 --> N1 --> N2 --> N3
HAR-RV — decision-boundary
flowchart TD
A["Supplied observations and parameters"] --> B{"Contract valid?"}
B -->|No| E["Reject with explicit error"]
B -->|Yes| C{"Required history available?"}
C -->|No| W["Withhold; never insert zero"]
C -->|Yes| D["HAR-RV calculation"]
D --> F["Inspect diagnostics and stated limits"]
How it works#
This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.
References#
- Scope of evidence