Quantile forecasts for financial volatilities based on parametric and asymmetric models

DOI10.1016/J.JKSS.2018.08.005zbMATH Open1417.37296OpenAlexW2891568907MaRDI QIDQ1726164FDOQ1726164

Authors: Ji Eun Choi, Dong Wan Shin 

Publication date: 19 February 2019

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.08.005

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zbMATH Keywords

realized volatilityvalue at riskvolatility indexEGARCH modelforecast intervalLHAR modelskew-t distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series analysis of dynamical systems (37M10) Dynamical systems in optimization and economics (37N40)

Cites Work

• Analysis of Financial Time Series
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On Bayesian Modeling of Fat Tails and Skewness
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• The Volatility of Realized Volatility
• Do high-frequency measures of volatility improve forecasts of return distributions?

Cited In (4)

• Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
• Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors
• A self-normalization test for correlation change
• Financial volatility modeling: The feedback asymmetric conditional autoregressive range model

Uses Software

• FinTS

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