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Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models · Study

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PreprintModelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models

Pierre Giot2003

OA

Preprintgreen2003

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

Pierre Giot · Sébastien Laurent

79 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2012The Econometrics of Financial Markets 1987Expected stock returns and volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited by

2011A comparison of GARCH models for VaR estimation 2018Asymmetric Volatility in Equity Markets Around the World 2009Backtesting value-at-risk based on tail losses 2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review 2010Explaining asymmetric volatility around the world

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Modelling daily Value-at-Risk using realized volatility and ARCH type modelsarticle · 27 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 16 shared references 2001Modeling and Forecasting Realized Volatilitypreprint · 15 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 15 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 14 shared references 2013A comprehensive review of Value at Risk methodologiesarticle · 14 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations79

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.362460

openalex_workW1481209057

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