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Modelling daily Value-at-Risk using realized volatility and ARCH type models

✍ Scribed by Pierre Giot; Sébastien Laurent

Book ID
116641517
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
194 KB
Volume
11
Category
Article
ISSN
0927-5398

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## ABSTRACT This paper proposes value‐at risk (VaR) estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility. The appeal of this proposal is that it merges information from the historical time series and the different inf