Does the tail risk index matter in forecasting downside risk?
學年 111
學期 2
出版（發表）日期 2023-07-05
作品名稱 Does the tail risk index matter in forecasting downside risk?
作品名稱（其他語言）
著者 Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang.
單位
出版者
著錄名稱、卷期、頁數 International Journal of Finance and Economics, 28(3), Pp.3451-3466.
摘要 This study employs an augmented realized GARCH (RGARCH) model to examine whether two well-known tail risk measures, namely the SKEW and VVIX indices, can improve the daily value-at-risk (VaR) forecasting accuracy for S&P500 index returns. We find that the RGARCH-VVIX model exhibits better predictive accuracy than the RGARCH and RGARCH-SKEW models. The VVIX index provides economically valuable information in forecasting VaR. Given its ability to improve both accuracy and efficiency for VaR forecasts, the RGARCH-VVIX model is helpful for a risk manager to determine capital requirement and for investors to assess the downside risk of their investments.
關鍵字 downside risk; realized GARCH; SKEW; VaR; VVIX
語言 en
ISSN 1099-1158
期刊性質 國外
收錄於 SSCI NotTSSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版