• Corpus ID: 235266021

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

  title={A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting},
  author={Chao Wang and Richard H. Gerlach},
In this paper, an innovative threshold measurement equation is proposed to be employed in a Realized-GARCH framework. The proposed framework employs a nonlinear threshold regression specification to consider the leverage effect and model the contemporaneous dependence between the observed realized measures and hidden volatility. A Bayesian Markov Chain Monte Carlo method is adapted and employed for the model estimation and forecasting, with its validity assessed via a simulation study. The… 

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