%0 Report %1 f1d4ae5bbbb741acb55d28ae2d5b352a %A Gallo, Giampiero %A Okhrin, Ostap %A Storti, Giuseppe %D 2024 %K topic_engineering FIS_scads econ.EM %R 10.48550/arXiv.2409.13516 %T Dynamic tail risk forecasting: what do realized skewness and kurtosis add? %X This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in ädditive" and "multiplicative" models. Utilizing a panel of 960 US stocks, we conduct diagnostic tests, employ scoring functions, and implement rolling window forecasting to evaluate the performance of Value at Risk (VaR) and Expected Shortfall (ES) forecasts. Additionally, we examine the impact of the window length on forecast accuracy. We propose model specifications that incorporate realized skewness and kurtosis for enhanced precision. Our findings provide insights into the importance of considering skewness and kurtosis in tail risk modeling, contributing to the existing literature and offering practical implications for risk practitioners and researchers.

@techreport{f1d4ae5bbbb741acb55d28ae2d5b352a, abstract = {This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in {"}additive{"} and {"}multiplicative{"} models. Utilizing a panel of 960 US stocks, we conduct diagnostic tests, employ scoring functions, and implement rolling window forecasting to evaluate the performance of Value at Risk (VaR) and Expected Shortfall (ES) forecasts. Additionally, we examine the impact of the window length on forecast accuracy. We propose model specifications that incorporate realized skewness and kurtosis for enhanced precision. Our findings provide insights into the importance of considering skewness and kurtosis in tail risk modeling, contributing to the existing literature and offering practical implications for risk practitioners and researchers.}, added-at = {2024-11-28T16:27:18.000+0100}, author = {Gallo, Giampiero and Okhrin, Ostap and Storti, Giuseppe}, biburl = {https://puma.scadsai.uni-leipzig.de/bibtex/2d6a3a43f5dd1fcc8fd9fa0029c5e01c6/scadsfct}, day = 20, doi = {10.48550/arXiv.2409.13516}, interhash = {093623754f0062e3e60c6a76e0fa3cdb}, intrahash = {d6a3a43f5dd1fcc8fd9fa0029c5e01c6}, keywords = {topic_engineering FIS_scads econ.EM}, language = {English}, month = sep, timestamp = {2024-11-28T17:41:00.000+0100}, title = {Dynamic tail risk forecasting: what do realized skewness and kurtosis add?}, type = {WorkingPaper}, year = 2024 }