A Parsimonious Quantile Regression Model to forecast day-ahead Value-at-Risk ☆

Erik Haugom,Rina Ray,Carl J Ullrich,Steinar Veka,Sjur Westgaard

Finance Research Letters（2015）

Cited 17|Views5

No score

Abstract

•We develop a simple VaR estimation method, the HAR-QREG model.•HAR-QREG performance is similar to complex models proposed in the literature.•HAR-QREG is simple to implement.•We account for the heterogeneous market hypothesis.•We capture the effects of short-term, medium-term, and long-term volatility.

Translated text

Key words

Heterogeneous investors,HAR-QREG/Quantile regression,Risk management,Value-at-risk,Volatility

AI Read Science

Must-Reading Tree

Example

Generate MRT to find the research sequence of this paper

Chat Paper

Summary is being generated by the instructions you defined