GARMA, HAR and Rules of Thumb for Modelling Realised Volatility

. This paper features an analysis of the relative effectiveness of a variety of methods of modelling Realised Volatility (RV), namely: the use of Gegenbaur processes in Auto-Regressive Moving Average format, GARMA, as opposed to Heterogenous Auto-Regressive HAR models and simple rules of thumb. The analysis is applied to two data sets that feature the RV of the S&P500 index, as sampled at 5 minute intervals, provided by the Oxford Man RV database. The GARMA model does perform slightly better than the HAR model, but both models are matched by a simple rule of thumb regression model based on the application of lags of squared, cubed and quartic, demeaned daily returns.