Measuring systemic risk with high-frequency data: A realized GARCH approach

Qihao Chen, Zhuo Huang and Fang Liang

Finance Research Letters, 2023, vol. 54, issue C

Abstract: This paper incorporates high-frequency information to measure systemic risk. Under the Multivariate Realized GARCH framework, we compute the CoVaR measure using a multivariate skew-t distribution. Using 5-minute data of 98 U.S. financial institutions from 2000 to 2022, we show the empirical improvement of the high-frequency measurement. We also investigate the relationship between institutions’ systemic risk contributions and firm-level characteristics. Our empirical findings suggest that firm size and leverage are positively related to institutions’ contributions to systemic risk.

Keywords: Systemic risk; CoVaR; Multivariate realized GARCH; Multivariate skew-t distribution (search for similar items in EconPapers)
JEL-codes: C58 G17 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265

DOI: 10.1016/j.frl.2023.103753

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