Artikel

Forecasting value-at-risk using high-frequency information

In the prediction of quantiles of daily Standard&Poor's 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns sampled at different intraday interval), or directly, through combining high frequency information into one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the indirect case, and factor models with principal component approach, for both direct and indirect cases. We show that in forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high-frequency information is beneficial, often substantially and particularly so, in forecasting downside risk. Our empirical results show that the averaging methods (subsample averaging, bootstrap averaging, forecast averaging), which serve as different ways of forming the ensemble average from using high-frequency intraday information, provide an excellent forecasting performance compared to using just low-frequency daily information.

Sprache
Englisch

Erschienen in
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 1 ; Year: 2013 ; Issue: 1 ; Pages: 127-140 ; Basel: MDPI

Klassifikation
Wirtschaft
Thema
VaR
quantiles
subsample averaging
bootstrap averaging
forecast combination
high-frequency data

Ereignis
Geistige Schöpfung
(wer)
Huang, Huiyu
Lee, Tae-hwy
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2013

DOI
doi:10.3390/econometrics1010127
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Huang, Huiyu
  • Lee, Tae-hwy
  • MDPI

Entstanden

  • 2013

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