Essays about: "Jens Wirf"
Found 1 essay containing the words Jens Wirf.
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1. FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?
University essay from Statistiska institutionenAbstract : 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
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