Realized Stochastic Volatility Models with Skew-t Distributions for Volatility and Tail Risk Forecasting

Makoto Takahashi, Yuta Yamauchi, Toshiaki Watanabe +1

Accurate forecasting of volatility is essential for financial risk management and for the evaluation of tail risk measures such as value-at-risk (VaR) and expected shortfall (ES).…