The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting

DOI10.1002/FOR.2249MaRDI QIDQ4687342zbMATH OpenOpenAlexFDO

Authors Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis, A.-P. N. Refenes

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/35252/1/MPRA_paper_35252.pdf

zbMATH Keywords

realized GARCHalternative volatility measuresmultiple forecasting horizons

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(9)

• A conditional extreme value volatility estimator based on high-frequency returns
• The volatility forecasting and VaR measurement of Chinese stock market based on generalized realized measures
• The economic value of volatility timing using a range-based volatility model
• Intraday value-at-risk: an asymmetric autoregressive conditional duration approach
• Modeling and forecasting exchange rate volatility in time-frequency domain
• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
• Empirical study of the value at risk model based on realized volatility
• Forecasting intraday volatility and value-at-risk with high-frequency data
• High-dimensional covariance forecasting for short intra-day horizons

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