Contino, Christian; Gerlach, Richard H. - Business School, University of Sydney - 2014
A Realised Volatility GARCH model is developed within a Bayesian framework for the purpose of forecasting Value at Risk … and Conditional Value at Risk. Student-t and Skewed Student-t return distributions are combined with Gaussian and Student … models show a marked improvement compared to ordinary GARCH for both Value at Risk and Conditional Value at Risk forecasting …