DeepAI AI Chat
Log In Sign Up

Conditional Quantile Analysis for Realized GARCH Models

08/04/2021
by   Donggyu Kim, et al.
0

This paper introduces a novel quantile approach to harness the high-frequency information and improve the daily conditional quantile estimation. Specifically, we model the conditional standard deviation as a realized GARCH model and employ conditional standard deviation, realized volatility, realized quantile, and absolute overnight return as innovations in the proposed dynamic quantile models. We devise a two-step estimation procedure to estimate the conditional quantile parameters. The first step applies a quasi-maximum likelihood estimation procedure, with the realized volatility as a proxy for the volatility proxy, to estimate the conditional standard deviation parameters. The second step utilizes a quantile regression estimation procedure with the estimated conditional standard deviation in the first step. Asymptotic theory is established for the proposed estimation methods, and a simulation study is conducted to check their finite-sample performance. Finally, we apply the proposed methodology to calculate the value at risk (VaR) of 20 individual assets and compare its performance with existing competitors.

READ FULL TEXT

page 1

page 2

page 3

page 4

07/02/2019

Volatility Analysis with Realized GARCH-Ito Models

This paper introduces a unified approach for modeling high-frequency fin...
11/08/2021

Exponential GARCH-Ito Volatility Models

This paper introduces a novel Ito diffusion process to model high-freque...
01/02/2020

The Impact of the Choice of Risk and Dispersion Measure on Procyclicality

Procyclicality of historical risk measure estimation means that one tend...
02/24/2020

Modelling volatility with v-transforms

An approach to the modelling of financial return series using a class of...
09/17/2019

Distributional conformal prediction

We propose a robust method for constructing conditionally valid predicti...
10/27/2020

Large Deviation principles of Realized Laplace Transform of Volatility

Under scenario of high frequency data, consistent estimator of realized ...
07/03/2018

Conditional Tail-Related Risk Estimation Using Composite Asymmetric Least Squares and Empirical Likelihood

In this article, by using composite asymmetric least squares (CALS) and ...