Forecasting Value-at-Risk using high frequency data: The realized range model

Xi-Dong Shao, Yu-Jun Lian and Lian-Qian Yin
Authors registered in the RePEc Author Service: 玉君 连 ()

Global Finance Journal, 2009, vol. 20, issue 2, 128-136

Abstract: Current studies on financial market risk measures usually use daily returns based on GARCH type models. This paper models realized range using intraday high frequency data based on CARR framework and apply it to VaR forecasting. Kupiec LR test and dynamic quantile test are used to compare the performance of VaR forecasting of realized range model with another intraday realized volatility model and daily GARCH type models. Empirical results of Chinese Stock Indices show that realized range model performs the same with realized volatility model, which performs much better than daily models.

Keywords: VaR; Realized; range; High; frequency; data (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:20:y:2009:i:2:p:128-136

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