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The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

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  • Antonio Naimoli

    (Università degli Studi di Salerno, Dipartimento di Scienze Economiche e Statistiche (DISES))

  • Giuseppe Storti

    (Università degli Studi di Salerno, Dipartimento di Scienze Economiche e Statistiche (DISES))

Abstract

This paper investigates the impact of economic policy uncertainty on tail risk forecasting. We refer to the Realized Exponential GARCH model as it can directly incorporate information from realized volatility measures and newspaper-based uncertainty indices. An application to the prediction of daily Value-at-Risk and Expected Shortfall for the S&P 500 provides evidence that combining realized volatility and uncertainty measures can lead to significant accuracy gains in forecasting tail risk.

Suggested Citation

  • Antonio Naimoli & Giuseppe Storti, 2022. "The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 359-364, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_58
    DOI: 10.1007/978-3-030-99638-3_58
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