VAR and Intraday Volatility Forecasting
Author | : Timotheos Angelidis |
Publisher | : |
Total Pages | : 12 |
Release | : 2018 |
ISBN-10 | : OCLC:1290217321 |
ISBN-13 | : |
Rating | : 4/5 (21 Downloads) |
Download or read book VAR and Intraday Volatility Forecasting written by Timotheos Angelidis and published by . This book was released on 2018 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most appropriate method for the Bank index in forecasting the one-day-ahead VaR is the symmetric model with normally distributed innovations, while the asymmetric model with asymmetric conditional distribution applies for the General index. On the other hand, the asymmetric model tracks closer the one-step-ahead intra day realized volatility with conditional normally distributed innovations for the Bank index but with asymmetric and leptokurtic distributed innovations for the General index. Therefore, as concerns the Greek stock market, there are adequate methods for predicting market risk but it does not seem to be a specific model that is the most accurate for all the forecasting tasks.