Showing 1 - 3 of 3
these results to evaluate interest rate mean and volatility response to U.S. macroeconomic and monetary news with an EGARCH …
Persistent link: https://www.econbiz.de/10005622142
In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the innovation’s distribution is estimated with the fully...
Persistent link: https://www.econbiz.de/10009001164
Persistent link: https://www.econbiz.de/10012173829