Study on VaR forecasts Based on Realized Range-based Volatility

摘要：

In order to study VaR calculations, we studied the issue of volatility forecasting for VaR calculations by using high frequency data. Researchers have studied the issue of volatility forecasting for VaR calculations by using realized volatility. However, realized volatility isnt a consistent measure for the true volatility due to microstructure effect of the financial market. As a result, we studied the issue of volatility forecasting for VaR calculations by using realized range-based volatility, which is superior to realized volatility. We do the empirical research by using the high frequency data from the Chinese stock market-Shanghai stock market.

关键词： VaR high frequency data realized volatility realized range-based volatility

作者: Guo Mingyuan ZhangShiying

作者单位: School of Management, Tianjin University, Tianjin, 300072, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 860-862

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）