This article compares the forecasting ability of the recently proposed Realized GARCH
model with that of the standard GARCH models that use only the daily returns, and the other …

Purpose This study aims to forecast daily value-at-risk (VaR) for international stock indices
by using the conditional extreme value theory (EVT) with the Realized GARCH (RGARCH) …

Yüksek volatilite dönemlerinde hisse senedi yatırımı yapmak, volatilitenin nispeten düşük
olduğu dönemlere göre yatırımcılar açısından daha zor olmaktadır. Bu dönemlerde …

Purpose This study aims to implement a novel approach of using the Realized generalized
autoregressive conditional heteroskedasticity (GARCH) model within the conditional …

This article examines the economic benefit of using the realized covariance matrix forecasts,
for constructing the risk-based portfolios. We use the two-scale realized covariance …

This study evaluates the performance of risk-based portfolios under different market
conditions. We compare four strategies, namely, the equally weighted portfolio (EW), the …

The classical realized variance (RV) estimator is biased due to microstructure effects and
asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and …

Volatility in stock markets is a phenomena arising from change in stock prices due to new
information that arrives continuously, causing changes in market scenario. Volatility is the …

The last few years have witnessed an exponential increase in the availability and use of
financial market data, which is sampled at increasingly high frequencies. Extracting useful …