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Articles

VaR Forecast Comparison between Realized Volatility ARFI and CAViaR Models

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  • 1. School of International Trade and Economics, University of International Business and Economics, Beijing 100029, China;
    2. School of Banking and Financ, University of International Basiness and Economics, Beijing 100029, China

Received date: 2012-02-17

  Revised date: 2014-11-12

  Online published: 2015-02-28

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.

Cite this article

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

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