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 … over a four year period. Three Realised Volatility proxies are considered within this framework. Realised Volatility GARCH … that Realised Volatility is superior when producing volatility forecasts. Realised Volatility models implementing a Skewed …