haku: @author Giot, P. / yhteensä: 3
viite: 2 / 3
| Tekijä: | Giot, P. Laurent, S. |
| Otsikko: | Modelling daily Value-at-Risk using realized volatility and ARCH type models |
| Lehti: | Journal of Empirical Finance
2004 : JUN, VOL. 11:3, p. 379-398 |
| Asiasana: | Financial markets Stock markets Volatility Models |
| Kieli: | eng |
| Tiivistelmä: | This paper compares the performance of a daily ARCH type model which uses daily returns with the performance of a model based on the daily realized volatility using intraday returns when the 1-day ahead value-at-risk (VaR) is to be computed. Refered to are two stock indexes, the CAC40 and SP500, and two exchange rate returns, the YENUSD and DEMUSD. While the VaR specification provides adequate 1-day-ahead VaR forecasts, it does not really improve on the performance of a VaR model based on the skewed Student APARCH model. Thus both methods seem to be equivalent. |
SCIMA