A quick tool to forecast value-at-risk using implied and realizedn volatilities

摘要

We propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market. Implied volatility is often indicated as the operator's expectation about future risk, while historical volatility straightforwardly represents the realized risk prior to the estimation point, which by definition is backward looking. Therefore, our VaR prediction strategy uses information