This article applies the realized generalized autoregressive conditional heteroskedasticity (GARCH) model, which incorporates the GARCH model with realized volatility, to quantile forecasts of financial returns, such as Value-at-Risk and expected shortfall. Student's t-and skewed Student's t-distributions as well as normal distribution are used for the return distribution. The main results for the S&P 500 stock index are: (i) the realized GARCH model with the skewed Student's t-distribution performs better than that with the normal and Student's t-distributions and the exponential GARCH model using the daily returns only; and (ii) using the realized kernel to take account of microstructure noise does not improve the performance.j ere_548 68..80 JEL Classification Numbers: C52, C53, G17.
This article examines the relation between price volatility, trading volume and open interest for the Nikkei 225 stock index futures traded on the Osaka Securities Exchange (OSE) using the method developed by Bessembinder and Seguin (1993). The OSE regulation for trading of the Nikkei 225 futures decreased beginning 14 February 1994. Results for the period beginning 14 February 1994 confirm the findings by Bessembinder and Seguin (1993) of a significant positive relation between volatility and unexpected volume and a significant negative relation between volatility and expected open interest. However, no relation between price volatility, volume and open interest is found for the period prior to 14 February 1994, when the regulation increased gradually. This result provides evidence that the relation between price volatility, volume and open interest may vary with the regulation.
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