Next Article in Journal
Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging
Previous Article in Journal
Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Econometrics 2013, 1(1), 127-140; doi:10.3390/econometrics1010127

Forecasting Value-at-Risk Using High-Frequency Information

 and 2,*
Received: 7 March 2013 / Accepted: 22 April 2013 / Published: 21 June 2013
Download PDF [247 KB, updated 24 June 2013; original version uploaded 21 June 2013]
Abstract: in the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns sampled at different intraday interval), or directly, through combining high frequency information into one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the indirect case, and factor models with principal component approach, for both direct and indirect cases. We show that in forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high-frequency information is beneficial, often substantially and particularly so, in forecasting downside risk. Our empirical results show that the averaging methods (subsample averaging, bootstrap averaging, forecast averaging), which serve as different ways of forming the ensemble average from using high-frequency intraday information, provide an excellent forecasting performance compared to using just low-frequency daily information.
Keywords: VaR; Quantiles; Subsample averaging; Bootstrap averaging; Forecast combination; High-frequency data VaR; Quantiles; Subsample averaging; Bootstrap averaging; Forecast combination; High-frequency data
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Export to BibTeX |

MDPI and ACS Style

Huang, H.; Lee, T.-H. Forecasting Value-at-Risk Using High-Frequency Information. Econometrics 2013, 1, 127-140.

AMA Style

Huang H, Lee T-H. Forecasting Value-at-Risk Using High-Frequency Information. Econometrics. 2013; 1(1):127-140.

Chicago/Turabian Style

Huang, Huiyu; Lee, Tae-Hwy. 2013. "Forecasting Value-at-Risk Using High-Frequency Information." Econometrics 1, no. 1: 127-140.

Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert