Essays about: "Jens Wirf"

Found 1 essay containing the words Jens Wirf.

  1. 1. FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?

    University essay from Statistiska institutionen

    Author : David Fallman; Jens Wirf; [2011]
    Keywords : Realized volatility; volatility forecasting; exchange rates; high-frequency data; value-at-risk;

    Abstract : In this paper we use model-free estimates of daily exchange rate volatilities employing high-frequency intraday data, known as Realized Volatility, which is then forecasted with ARMA-models and used to produce one-day-ahead Value-at-Risk predictions. The forecasting accuracy of the method is contrasted against the more widely used ARCH-models based on daily squared returns. READ MORE