期刊論文
| 學年 | 111 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2023-07-05 |
| 作品名稱 | Does the tail risk index matter in forecasting downside risk? |
| 作品名稱（其他語言） | |
| 著者 | Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang. |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Journal of Finance and Economics, 28(3), Pp.3451-3466. |
| 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. |
| 關鍵字 | downside risk; realized GARCH; SKEW; VaR; VVIX |
| 語言 | en |
| ISSN | 1099-1158 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI NotTSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126761 ) |