The Realized GARCH-type Model And Its Application

We proposed the VaR forecast using realized EGARCH model for the asymmetric reaction of returns to volatility. We adopted quasi likelihood analysis to estimate the parameter of realized EGARCH model, then apply the likelihood ratio(LR) test proposed by Kupiec(1995) to test the null hypothesis. Finally apply it to Shanghai Stock Exchange 380 index. Then compare to the realized GARCH model with different residual distributions. It shows that realized EGARCH model can measure the risk more accurately. And can describe the asymmetry.