Quantile forecasts for financial volatilities based on parametric and asymmetric models

DOI10.1016/J.JKSS.2018.08.005zbMath1417.37296OpenAlexW2891568907MaRDI QIDQ1726164

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)

Related Items (1)

A self-normalization test for correlation change

Uses Software

• FinTS

Cites Work

• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Do high-frequency measures of volatility improve forecasts of return distributions?
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The Volatility of Realized Volatility
• On Bayesian Modeling of Fat Tails and Skewness
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility
• Analysis of Financial Time Series

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