Forecasting Value-at-Risk using high frequency data: The realized range model
AbstractCurrent studies on financial market risk measures usually use daily returns based on GARCH type models. This paper models realized range using intraday high frequency data based on CARR framework and apply it to VaR forecasting. Kupiec LR test and dynamic quantile test are used to compare the performance of VaR forecasting of realized range model with another intraday realized volatility model and daily GARCH type models. Empirical results of Chinese Stock Indices show that realized range model performs the same with realized volatility model, which performs much better than daily models.
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Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 20 (2009)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/inca/620162
VaR Realized range High frequency data;
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