Forecasting risk via realized GARCH, incorporating the realized range

被引：31
|
作者：
Gerlach, Richard [1 ]
Wang, Chao [1 ]
机构：
[1] Univ Sydney, Discipline Business Analyt, Sch Business, Sydney, NSW 2006, Australia
来源：
QUANTITATIVE FINANCE | 2016年 / 16卷 / 04期
关键词：
VALUE-AT-RISK; VOLATILITY; MODELS; MANAGEMENT; VARIANCE;
D O I：
10.1080/14697688.2015.1079641
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：501 / 511
页数：11
相关论文
共 50 条
  • [1] Modeling returns volatility: Realized GARCH incorporating realized risk measure
    Jiang, Wei
    Ruan, Qingsong
    Li, Jianfeng
    Li, Ye
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 500 : 249 - 258
  • [2] Bayesian quantile forecasting via the realized hysteretic GARCH model
    Chen, Cathy W. S.
    Lin, Edward M. H.
    Huang, Tara F. J.
    JOURNAL OF FORECASTING, 2022, 41 (07) : 1317 - 1337
  • [3] Bayesian tail-risk forecasting using realized GARCH
    Contino, Christian
    Gerlach, Richard H.
    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2017, 33 (02) : 213 - 236
  • [4] Forecasting volatility with outliers in Realized GARCH models
    Cai, Guanghui
    Wu, Zhimin
    Peng, Lei
    JOURNAL OF FORECASTING, 2021, 40 (04) : 667 - 685
  • [5] Realized GARCH Model in Volatility Forecasting and Option Pricing
    Fang, Zheng
    Han, Jae-Young
    COMPUTATIONAL ECONOMICS, 2025,
  • [6] A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
    Wang, Chao
    Gerlach, Richard
    JOURNAL OF FORECASTING, 2024, 43 (01) : 40 - 57
  • [7] Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
    Wang, Chao
    Chin, Qian
    Gerlach, Richard
    QUANTITATIVE FINANCE, 2019, 19 (06) : 1017 - 1042
  • [8] REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
    Hansen, Peter Reinhard
    Lunde, Asger
    Voev, Valeri
    JOURNAL OF APPLIED ECONOMETRICS, 2014, 29 (05) : 774 - 799
  • [9] Semi-parametric financial risk forecasting incorporating multiple realized measures
    Peiris, Rangika
    Wang, Chao
    Gerlach, Richard
    Tran, Minh-Ngoc
    QUANTITATIVE FINANCE, 2024, 24 (12) : 1823 - 1837
  • [10] Realized GARCH, CBOE VIX, and the Volatility Risk Premium
    Hansen, Peter Reinhard
    Huang, Zhuo
    Tong, Chen
    Wang, Tianyi
    JOURNAL OF FINANCIAL ECONOMETRICS, 2024, 22 (01) : 187 - 223
12345