Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model

被引：4

作者：

Wang, Tianyi ^{[1
]}

Liang, Fang ^{[2
]}

Huang, Zhuo ^{[3
]}

Yan, Hong ^{[4
]}

机构：

[1] Univ Int Business & Econ, Sch Banking & Finance, Beijing, Peoples R China

[2] Sun Yat Sen Univ, Int Sch Business & Finance, Guangzhou, Peoples R China

[3] Peking Univ, Natl Sch Dev, Beijing, Peoples R China

[4] Huawei Technol Co Ltd, Shenzhen, Peoples R China

来源：

ECONOMIC MODELLING | 2022年 / 109卷

基金：

中国国家自然科学基金;

关键词：

Realized GARCH-RSRK; Realized higher moments; Realized GARCH; Gram-Charlier expansion; Value-at-Risk; CONDITIONAL VOLATILITY; SKEWNESS; KURTOSIS; DENSITIES;

D O I：

10.1016/j.econmod.2022.105781

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we develop a new model, the Realized GARCH-RSRK, to determine the time-varying distribution of financial returns with realized higher moments. Based on Gram-Charlier expansion (GCE) density, we first explicitly link the expansion parameters with moments that are calculated based on intraday returns using our new model. Then, the Cornish-Fisher expansion is applied to forecast Value-at-Risk (VaR) with estimated moments to demonstrate the economic significance of this new model. Compared with the daily-return-based dynamic higher moments models, the inclusion of realized higher moments significantly improves this model's ability to forecast extreme tails. The empirical results indicate that this new model outperforms the benchmark models when forecasting extreme VaR. In addition, we provide a formula to correct the moments associated with the commonly used squared transformation of GCE. Our empirical evidence highlights the importance of using corrected moments in VaR forecasting.

引用

页数：13