淡江大學機構典藏:Item 987654321/126690
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    题名: Does the tail risk index matter in forecasting downside risk?
    作者: Hung, Jui-Cheng;Liu, Hung-Chun;Yang, J. Jimmy
    关键词: downside risk;realized GARCH;SKEW;VaR;VVIX
    日期: 2023-07-05
    上传时间: 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
    显示于类别:[財務金融學系暨研究所] 期刊論文

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