Extreme Volatility, Jump and Tail Risk: Dynamic Forecasting Stock Market Risk Based on Realized Vola

• 作 者: LiuHuizhen[1]WuJianmin[2]MinSuqin[3]
• 机 构: Applied Economics Postdoctoral Research Station, School of Economics and Finance, Xi 'an Jiaotong U
• 出 处: The Third IMS-China International Conference on Statistics a
• 发表日期: 2011年期

　　Using nonparametric estimation method, this paper studies the dynamic evolution features of jumps in volatility of domestic stock market.We build the heterogeneous autoregressive model of realized volatility for stock index returns, and use the conditional extreme value approach to predict the volatility risk of stock market dynamically.