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Quantile Forecasts of Financial Returns Using Realized GARCH Models

Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

This article applies the realized GARCH model, which incorporates the GARCH model with realized volatility (RV), to quantile forecasts of financial returns such as Value-at-Risk and expected shortfall. This model has certain advantages in the application to quantile forecasts because it can...

Persistent link: https://www.econbiz.de/10009209768

High-frequency realized stochastic volatility model

Watanabe, Toshiaki; Nakajima, Jouchi - In: Journal of empirical finance 79 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015179722

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457

Persistent link: https://www.econbiz.de/10011597142

Stock return predictability and variance risk premia around the ZLB

Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki - 2020

Persistent link: https://www.econbiz.de/10013461530

Tail risk forecasting of realized volatility CAViaR models

Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014304842