期刊
ECONOMETRICS AND STATISTICS
卷 28, 期 -, 页码 30-46出版社
ELSEVIER
DOI: 10.1016/j.ecosta.2021.03.006
关键词
Expected shortfall; Forecasting; Heterogeneous autoregressive (HAR) model; Markov chain Monte Carlo method; Realized volatility; Value-at-Risk
类别
Advances in various GARCH models have effectively accounted for biases in realized volatility and have been extended to nonlinear or long-term memory patterns. These models demonstrate potential in quantile forecasts of financial returns and volatility forecasting.
Advances in the various realized GARCH models have proven effective in taking account of the bias in realized volatility (RV) introduced by microstructure noise and non-trading hours. They have been extended into nonlinear or long-memory patterns, including the realized exponential GARCH (EGARCH), realized heterogeneous autoregressive GARCH (HARGARCH), and realized threshold GARCH (TGARCH) models. These models with skew Student's t-distribution are applied to quantile forecasts such as Value-at-Risk and expected shortfall of financial returns as well as volatility forecasting. Parameter estimation and quantile forecasting are built on Bayesian Markov chain Monte Carlo sampling methods. Backtesting measures are presented for both Value-at-Risk and expected shortfall forecasts and employ two loss functions to assess volatility forecasts. Results taken from the S&P500 in the U.S. market with approximately 5-year out-of-sample periods covering the COVID19 pandemic period are reported as follows: (1) The realized HAR-GARCH model performs best in respect of violation rates and expected shortfall at the 1% and 5% significance levels. (2) The realized EGARCH model performs best with regard to volatility forecasts. (c) 2021 EcoSta Econometrics and Statistics. Published by Elsevier B.V. All rights reserved.
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