Comparison and Analysis of the Models of Forecasting Portfolio Risk Based on High-frequency Exchange Data
Ye Li · Systems Engineering · 2007
Realized covariance matrix is a new measurement of the volatility and correlation of portfolio.Based on the high-frequency data,the realized volatility and realized covariance matrix was introduced systematically.With sample data,the multivariate RV model was verified,and also compared with the DCC-GARCH model.The result indicated that the RV model has the better performances on the estimation accuracy and computation simplicity.