Paul, Samit; Sharma, Prateek - In: Studies in Economics and Finance 34 (2017) 2, pp. 238-259
Purpose This study aims to forecast daily value-at-risk (VaR) for international stock indices by using the conditional extreme value theory (EVT) with the Realized GARCH (RGARCH) model. The predictive ability of this Realized GARCH-EVT (RG-EVT) model is compared with those of the standalone...
