The modeling of risk applying realised volatility metrics
The project features the use of the Securities Industry Research Centre's (SIRCA's) high frequency intra-day financial data to obtain measures of realized volatility and realised covariance.
The data is incorporated in a time series context using a variety of time-series models. The aim of this project is to improve forecasts of volatility and Value at Risk (VaR).
This project is being undertaken with Professor Michael McAleer of Erasmus University, the Tinbergen Institute and Professor Chia-Lin Chang of the National Chung Hsing University, Taiwan, together with our staff Associate Professor Robert Powell and Dr Abhay Singh.