This paper investigates the impact of economic policy uncertainty on tail risk forecasting. We refer to the Realized Exponential GARCH model as it can directly incorporate information from realized volatility measures and newspaper-based uncertainty indices. An application to the prediction of daily Value-at-Risk and Expected Shortfall for the S{&}P 500 provides evidence that combining realized volatility and uncertainty measures can lead to significant accuracy gains in forecasting tail risk.
The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting
Naimoli Antonio
;Storti Giuseppe
2022-01-01
Abstract
This paper investigates the impact of economic policy uncertainty on tail risk forecasting. We refer to the Realized Exponential GARCH model as it can directly incorporate information from realized volatility measures and newspaper-based uncertainty indices. An application to the prediction of daily Value-at-Risk and Expected Shortfall for the S{&}P 500 provides evidence that combining realized volatility and uncertainty measures can lead to significant accuracy gains in forecasting tail risk.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
