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

Antonio Naimoli () and Giuseppe Storti
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Antonio Naimoli: Università degli Studi di Salerno, Dipartimento di Scienze Economiche e Statistiche (DISES)

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 359-364 from Springer

Abstract: 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.

Keywords: Economic policy uncertainty; Uncertainty indices; Realized GARCH; Tail risk forecasting (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_58

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DOI: 10.1007/978-3-030-99638-3_58

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