Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting

Makoto Takahashi, Yuta Yamauchi, Toshiaki Watanabe +1

Accurate forecasting of volatility and return quantiles is essential for evaluating financial tail risks such as value-at-risk and expected shortfall. This study proposes an extens…