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Multiple Measures Realized GARCH Models

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Studies in Theoretical and Applied Statistics (SIS 2021)

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 406))

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Abstract

Realized volatility has become the most popular empirical measure in fitting and forecasting volatility. However, as the properties of this class of estimators depend on the sampling frequency of intraday returns, a number of alternative realized estimators have been proposed, generating additional uncertainty in the modelling process. Aiming to mitigate the impact of modelling uncertainty in forecasting tail-risk, this paper investigates the benefits of combining information from several realized measures computed at multiple frequencies. In this framework, extensions of the Realized GARCH model based both on feature selection methods and time-varying parameters are proposed. To assess the implications for financial risk management, an application to the prediction of Value-at-Risk and Expected Shortfall for the Standard & Poor’s 500 Index is presented. We find that significant forecasting gains result from modelling approaches combining several realized multi-frequency measures.

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Notes

  1. 1.

    We do not show the R (Range) statistic, as it gives practically the same results as for the SQ statistic.

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Authors and Affiliations

  1. Università di Salerno, Dipartimento di Scienze Economiche e Statistiche (DISES), Via Giovanni Paolo II, 132, 84084, Fisciano, SA, Italy

    Antonio Naimoli & Giuseppe Storti

Authors
  1. Antonio Naimoli
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  2. Giuseppe Storti
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Correspondence to Antonio Naimoli .

Editor information

Editors and Affiliations

  1. Department of Economics and Management, University of Pisa, Pisa, Italy

    Nicola Salvati

  2. Department of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy

    Cira Perna

  3. Department of Economics and Management, University of Pisa, Pisa, Italy

    Stefano Marchetti

  4. School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW, Australia

    Raymond Chambers

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Naimoli, A., Storti, G. (2022). Multiple Measures Realized GARCH Models. In: Salvati, N., Perna, C., Marchetti, S., Chambers, R. (eds) Studies in Theoretical and Applied Statistics . SIS 2021. Springer Proceedings in Mathematics & Statistics, vol 406. Springer, Cham. https://doi.org/10.1007/978-3-031-16609-9_21

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