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• W2020120189 abstract "This paper introduces a conditional extreme value volatility estimator (EVT) based on high-frequency returns. The relative performance of the extreme value volatility estimator is compared with the discrete-time GARCH and implied volatility models for 1-day and 20-day-ahead forecasts of realized volatility. This is also a first attempt towards detecting any time-series variation in extreme value distributions using high-frequency intraday data. The information content of EVT is examined in the context of forecasting SP (2) VIX generally yields a less accurate characterization of realized volatility than EVT and GARCH models. These results have implications for financial risk management, and are thus relevant to both regulators and practitioners." @default.
• W2020120189 created "2016-06-24" @default.
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• W2020120189 date "2007-01-22" @default.
• W2020120189 modified "2023-09-23" @default.
• W2020120189 title "A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns" @default.
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