Quantile forecasts for financial volatilities based on parametric and asymmetric models

DOI10.1016/J.JKSS.2018.08.005zbMATH1417.37296OpenAlexW2891568907MaRDI 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

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)

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Cites work

• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Analysis of Financial Time Series
• Do high-frequency measures of volatility improve forecasts of return distributions?
• Modeling and Forecasting Realized Volatility
• 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
• The Volatility of Realized Volatility

Cited in

(5)

• 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
• Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
• Bootstrap forecast intervals for asymmetric volatilities via EGARCH model

Describes a project that uses

Uses Software

• FinTS

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