FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?

FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?

In this paper we use model-free estimates of daily exchange rate volatilities employing high-frequency intraday data, known as Realized Volatility, which is then forecasted with ARMA-models and used to produce one-day-ahead Value-at-Risk predictions. The forecasting accuracy of the method is contras...

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Bibliographic Details
Main Authors: Fallman, David, Wirf, Jens
Format: Others
Language:English
Published: Uppsala universitet, Statistiska institutionen 2011
Subjects:
Realized volatility
volatility forecasting
exchange rates
high-frequency data
value-at-risk
Statistics
Statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571
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spelling ndltd-UPSALLA1-oai-DiVA.org-uu-1465712013-01-08T13:29:13ZFORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?engFallman, DavidWirf, JensUppsala universitet, Statistiska institutionenUppsala universitet, Statistiska institutionen2011Realized volatilityvolatility forecastingexchange rateshigh-frequency datavalue-at-riskStatisticsStatistikIn this paper we use model-free estimates of daily exchange rate volatilities employing high-frequency intraday data, known as Realized Volatility, which is then forecasted with ARMA-models and used to produce one-day-ahead Value-at-Risk predictions. The forecasting accuracy of the method is contrasted against the more widely used ARCH-models based on daily squared returns. Our results indicate that the ARCH-models tend to underestimate the Value-at-Risk in foreign exchange markets compared to models using Realized Volatility Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571application/pdfinfo:eu-repo/semantics/openAccess
collection NDLTD
language English
format Others
sources NDLTD
topic Realized volatility
volatility forecasting
exchange rates
high-frequency data
value-at-risk
Statistics
Statistik
spellingShingle Realized volatility
volatility forecasting
exchange rates
high-frequency data
value-at-risk
Statistics
Statistik
Fallman, David
Wirf, Jens
FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?
description In this paper we use model-free estimates of daily exchange rate volatilities employing high-frequency intraday data, known as Realized Volatility, which is then forecasted with ARMA-models and used to produce one-day-ahead Value-at-Risk predictions. The forecasting accuracy of the method is contrasted against the more widely used ARCH-models based on daily squared returns. Our results indicate that the ARCH-models tend to underestimate the Value-at-Risk in foreign exchange markets compared to models using Realized Volatility
author Fallman, David
Wirf, Jens
author_facet Fallman, David
Wirf, Jens
author_sort Fallman, David
title FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?
title_short FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?
title_full FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?
title_fullStr FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?
title_full_unstemmed FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?
title_sort forecasting foreign exchange volatility for value at risk : can realized volatility outperform garch predictions?
publisher Uppsala universitet, Statistiska institutionen
publishDate 2011
url http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571
work_keys_str_mv AT fallmandavid forecastingforeignexchangevolatilityforvalueatriskcanrealizedvolatilityoutperformgarchpredictions
AT wirfjens forecastingforeignexchangevolatilityforvalueatriskcanrealizedvolatilityoutperformgarchpredictions
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