Realized Stochastic Volatility Models with Skew-t Distributions for Volatility and Tail Risk Forecasting
偏斜 t 分布实现随机波动率模型:波动率与尾部风险预测
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). This study proposes the realized stochastic volatility (RSV) model, an extension of the traditional stochastic volatility (SV) model that incorporates realized volatility as an efficient proxy for latent volatility. To better capture the stylized features of financial return distributions,…