基于"已实现"波动率ARFI模型和CAViaR模型的VaR预测比较研究

doi:10.16381/j.cnki.issn1003-207x.2015.02.007

Abstract

Abstract: The models for calculating and forecasting VaR can be classified into two broad categories: indirect-VaR and direct-VaR approaches.The VaR forecast performances between models taken from these two approaches respectively are compared. One is ARFI-VaR forecast model the indirect-VaR approach based on "realized volatility" obtained by high frequency data. Another two are CAViaR-based models, which are the representatives of direct-VaR approach. By the various backtests that are extensively used for VaR performance evaluation, using 5-min high frequency data of CSI 300 Index, SSE Composite Index and SZSE Component Index, the empirical evidence shows the CAViaR-based models perform better than realized volatility-based ARFI model.

Key words: high frequency, realized volatility, VaR, CAViaR

CLC Number:

YU Bai-min, WU Wei-xing. VaR Forecast Comparison between Realized Volatility ARFI and CAViaR Models[J]. Chinese Journal of Management Science, 2015, 23(2): 50-58.

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VaR Forecast Comparison between Realized Volatility ARFI and CAViaR Models

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