Advanced search
Publication Cover
Applied Economics Letters Volume 24, 2017 - Issue 21
Submit an article Journal homepage
420
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Value at risk forecasting for volatility index

Seul-Ki ParkDepartment of Statistics, Ewha University, Seoul, KoreaView further author information
,
Ji-Eun ChoiDepartment of Statistics, Ewha University, Seoul, KoreaView further author information
&
Dong Wan ShinDepartment of Statistics, Ewha University, Seoul, KoreaCorrespondence[email protected]
View further author information
Pages 1613-1620 | Published online: 17 Aug 2017

References

  • Andersen, T. G., T. Bollerslev, and F. X. Diebold. 2007. “Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.” The Review of Economics and Statistics 89: 701–720. doi:10.1162/rest.89.4.701.
  • Angelidis, T., and S. Degiannakis. 2008. “Volatility Forecasting: Intra-Day versus Inter-Day Models.” Journal of International Financial Markets 18: 449–465. doi:10.1016/j.intfin.2007.07.001.
  • Basel Committe on Bainking Supervision. 2013. Fundamental Review of the Trading Book: A Revised Market Risk Framework. Basel, Switzerland: BIS.
  • Braione, M., and N. K. Scholtes. 2016. “Forecasting Value-at-Risk under Different Distribution Assumptions.” Econometrics 4: 3–30. doi:10.3390/econometrics4010003.
  • Busch, T., B. J. Christensen, and M. Nielsen. 2011. “The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets.” Journal of Econometrics 160: 48–57. doi:10.1016/j.jeconom.2010.03.014.
  • Chen, J. H., and Y. F. Huang. 2014. “Long Memory and Structral Breaks in Modelling the Volatility Dynamics of VIX-ETFS.” International Journal of Business, Economics and Law 4: 54–63.
  • Christoffersen, P. F., and F. X. Diebold. 2000. “How Relevant Is Volatility Forecasting for Financial Risk Management?” Review of Economics and Statistics 82: 1–11. doi:10.1162/003465300558597.
  • Corsi, F. 2009. “A Simple Approximate Long-Memory Model of Realized Volatility.” Journal of Financial Econometrics 7: 174–196. doi:10.1093/jjfinec/nbp001.
  • Corsi, F., S. Mittnik, C. Pigorsch, and U. Pigorsch. 2008. “The Volatility of Realized Volatility.” Econometric Reviews 27: 46–78. doi:10.1080/07474930701853616.
  • Corsi, F., D. Pirino, and R. Reno. 2010. “Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting.” Journal of Econometrics 159: 276–288. doi:10.1016/j.jeconom.2010.07.008.
  • Deng, G., C. J. McCann, and O. Wang. 2012. “Are VIX Futures ETPs Effective Hedges?” The Journal of Index Investing 3: 35–48.
  • Ederington, L. H., and W. Guan. 2010. “How Asymmetric Is U.S. Stock Market Volatility?” Journal of Financial Markets 13: 225–248. doi:10.1016/j.finmar.2009.10.001.
  • Giot, P., and S. Laurent. 2003. “Value-At-Risk for Long and Short Trading Positions.” Journal of Applied Econometrics 18: 641–663. doi:10.1002/(ISSN)1099-1255.
  • Huang, H., and T. H. Lee. 2013. “Forecasting Value-At-Risk Using High-Frequency Information.” Econometrics 1: 127–140. doi:10.3390/econometrics1010127.
  • Hwang, E., and D. W. Shin. 2014. “Infinite-Order, Long-Memory Heterogeneous Autoregressive Models.” Computational Statistics & Data Analysis 76: 339–358. doi:10.1016/j.csda.2013.08.009.
  • Koopman, S. J., B. Jungbacker, and E. Hol. 2005. “Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurement.” Journal of Empirical Finance 12: 445–475. doi:10.1016/j.jempfin.2004.04.009.
  • Kuester, K., S. Mittnik, and M. S. Paolella. 2006. “Value-At-Risk Prediction: A Comparison of Alternative Strategies.” Journal of Financial Econometrics 4: 53–89. doi:10.1093/jjfinec/nbj002.
  • McAleer, M., and M. C. Medeiros. 2008. “Realized Volatility: A Review.” Econometric Reviews 27: 10–45. doi:10.1080/07474930701853509.
  • Park, Y. H. 2015. “Volatility-Of-Volatility and Tail Risk Hedging Returns.” Journal of Financial Markets 26: 38–63. doi:10.1016/j.finmar.2015.05.003.
  • Robert, E. 2013. “Trading Volatility: At What Cost?” Journal of Portfolio Management 40: 95–108. doi:10.3905/jpm.2013.40.1.095.
  • Thomakos, D., and D. Wang. 2003. “Realized Volatility in the Futures Markets.” Journal of Empirical Finance 10: 321–353. doi:10.1016/S0927-5398(02)00052-X.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.