Forecasting risk via realized GARCH, incorporating the realized range
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KeywordsRealized Variance; Realized GARCH; Realized Range; Intra-day Range; Predictive Likelihood; Tail Risk Forecasting;
All these keywords.
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-12-03 (Econometrics)
- NEP-ETS-2014-12-03 (Econometric Time Series)
- NEP-FOR-2014-12-03 (Forecasting)
- NEP-RMG-2014-12-03 (Risk Management)
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