| 題名: | Does the tail risk index matter in forecasting downside risk? |
| 作者: | Hung, Jui-Cheng;Liu, Hung-Chun;Yang, J. Jimmy |
| 關鍵詞: | downside risk;realized GARCH;SKEW;VaR;VVIX |
| 日期: | 2023-07-05 |
| 上傳時間: | 2025-01-23 12:05:51 (UTC+8) |
| 出版者: | Wiley |
| 摘要: | This study employs an augmented realized GARCH (RGARCH) model to examine whether two well-known tail risk measures, namely the SKEW and VVIX indices, can improve the daily value-at-risk (VaR) forecasting accuracy for S&P500 index returns. We find that the RGARCH-VVIX model exhibits better predictive accuracy than the RGARCH and RGARCH-SKEW models. The VVIX index provides economically valuable information in forecasting VaR. Given its ability to improve both accuracy and efficiency for VaR forecasts, the RGARCH-VVIX model is helpful for a risk manager to determine capital requirement and for investors to assess the downside risk of their investments. |
| 關聯: | International Journal of Finance and Economics, 28(3), Pp.3451-3466. |
| DOI: | 10.1002/ijfe.2602 |
| 顯示於類別: | [財務金融學系暨研究所] 期刊論文
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