EconPapers    
Economics at your fingertips  
 

Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data

Yves Dominicy and Harry Vander Elst ()

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: This paper studies in some details the joint-use of high-frequency data and economic variables tomodel financial returns and volatility. We extend the Realized LGARCH model by allowing for a timevaryingintercept, which responds to changes in macroeconomic variables in a MIDAS framework andallows macroeconomic information to be included directly into the estimation and forecast procedure.Using more than 10 years of high-frequency transactions for 55 U.S. stocks, we argue that the combinationof low-frequency exogenous economic indicators with high-frequency financial data improves our abilityto forecast the volatility of returns, their full multi-step ahead conditional distribution and the multiperiodValue-at-Risk. We document that nominal corporate profits and term spreads generate accuraterisk measures forecasts at horizons beyond two business weeks.

Keywords: realized LGARCH; value-at-risk; density forecasts; realized measures of volatility (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Pages: 25 p.
Date: 2015-11
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/2205 ... LST-micro-driven.pdf Full text for the whole work, or for a work part (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/220550

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/220550

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().

 
Page updated 2025-03-19
Handle: RePEc:eca:wpaper:2013/220550