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Comparing «Realized volatility» models in the VaR calculation for the Russian equity market

Author

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  • Shcherba, Alexandr

    (Higher School of Economics, Moscow, Russia)

Abstract

The paper is dedicated to the methodology of calculation, description of the properties and practical appliance of the realized volatility estimation, and its usage in the VaR calculation. The aim of the research is comparing of the realized volatility calculation methods, some of them are developed by the author and for the first time presented in the scientific publication. The results of the comparing enables to reader to conclude about accuracy superiority of the VaR estimation in the sense of smallest deviation from theoretical quantile if to use the new methods instead of the earlier created methods. Keywords: realized volatility; HAR-RV; VaR; market risk; financial crisis 2008.

Suggested Citation

  • Shcherba, Alexandr, 2014. "Comparing «Realized volatility» models in the VaR calculation for the Russian equity market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 120-136.
    • Handle: RePEc:ris:apltrx:0240
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    References listed on IDEAS

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    Cited by:

    1. Nagapetyan, Artur, 2019. "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 45-61.

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    More about this item

    Keywords

    realized volatility; HAR-RV; VaR; market risk; financial crisis 2008;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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