Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models

Pierre Giot and Sébastien Laurent

No 52, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Value-at-Risk; Realized volatility; skewed Student distribution (search for similar items in EconPapers)
JEL-codes: C52 C53 G15 (search for similar items in EconPapers)
Date: 2002-07-01
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Journal Article: Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)
Working Paper: Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)
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