Study on VaR Forecasts Based on Realized Range-Based Volatility

In order to study VaR calculations, we studied the issue of volatility forecasting for VaR calculations by using high frequency data. Researchers have studied the issue of volatility forecasting for VaR calculations by using realized volatility. However, realized volatility isnpsilat a consistent measure for the true volatility due to microstructure effect of the financial market. As a result, we studied the issue of volatility forecasting for VaR calculations by using realized range-based volatility, which is superior to realized volatility. We do the empirical research by using the high frequency data from the Chinese stock market-Shanghai stock market.