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.
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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