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The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting

Louzis, Dimitrios P. - 2012

In this paper, we assess the informational content of daily range, realized variance, realized bipower variation, two time scale realized variance, realized range and implied volatility in daily, weekly, biweekly and monthly out-of-sample Value-at-Risk (VaR) predictions. We use the recently...

Persistent link: https://www.econbiz.de/10013113342

Volatility Spillovers and Capital Buffers Among the G-Sibs

McNelis, Paul D. - 2020

We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure spillovers using vector-autoregressive models of range volatility of the equity prices of G-SIBs, together with machine learning methods. We then compare the size of these spillovers...

Persistent link: https://www.econbiz.de/10012836874

Factor High-Frequency Based Volatility (HEAVY) Models

Sheppard, Kevin - 2014

We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and covolatility extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional...

Persistent link: https://www.econbiz.de/10013053429

An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market

Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...

Persistent link: https://www.econbiz.de/10011843494

Are Realized Volatility Models Good Candidates for Alternative Value at Risk Prediction Strategies?

Louzis, Dimitrios P. - 2011

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/10013126884

Oil Price Volatility and Firm Profitability : An Empirical Analysis of Shariah-Compliant And non-Shariah-Compliant Firms

Bugshan, Abdullah Salem; Bakry, Walid; Li, Yongqing - 2021

Purpose–This study examines the impact of oil price volatility on firm profitability. As Shariah-compliant firms … listed on Gulf Cooperation Council stock exchanges from 2005 to 2019. In evaluating the oil price volatility–profitability … volatility significantly depresses firm profitability. In addition, Shariah-compliant firms are more significantly affected by …

Persistent link: https://www.econbiz.de/10013222952

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Orthogonalized Regressors and Spurious Precision

Sercu, Piet - 2013

Regressions often use pre-orthogonalized regressors. For example, the exposure of a stock's return to exchange-rate changes is conventionally estimated by regression, and often, the market return is included as an additional regressor. By first orthogonalizing the market return on the exchange...

Persistent link: https://www.econbiz.de/10013090299

High-Frequency Factor Models and Regressions

Ait-Sahalia, Yacine - 2019

We consider a nonparametric time series regression model. Our framework allows precise estimation of betas without the usual assumption of betas being piecewise constant. This property makes our framework particularly suitable to study individual stocks. We provide an inference framework for all...

Persistent link: https://www.econbiz.de/10012894411

The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index : A Quantile Regression Approach

Tekin, Bilgehan - 2020

The aim of this study is to investigate the effect of oil price, US Dollar rate and VIX on Borsa Istanbul by employing quantile regression model. In the literature, there are studies that examine the effect of the mentioned factors on stock market, but the number of studies in which these...

Persistent link: https://www.econbiz.de/10012854437

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