Computing Value at Risk with High Frequency Data
Posted: 1 Nov 2005
Abstract
We compare the computation of Value at Risk with daily and with high frequency data for the Deutschmark-US dollar exchange rate. Among the main points considered in the paper are: (a) the comparison of measures of Value at Risk on the basis of multi-step volatility forecasts; (b) the computation of the degree of fractional differencing for high frequency data in the context of a FIGARCH model and (c) the comparison between deterministic and stochastic models for the filtering of high frequency returns.
Keywords: value at risk, GARCH, IGARCH, high frequency data
JEL Classification: C22, F31, G11
Suggested Citation: Suggested Citation
Morana, Claudio and Beltratti, Andrea, Computing Value at Risk with High Frequency Data. Journal of Empirical Finance, Vol. 6, pp. 431-55, 1999
, Available at SSRN: https://ssrn.com/abstract=828904
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )
Piazza dell'Ateneo Nuovo, 1
Milan, 20126
Italy
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