ABSTRACT
This chapter investigates the predictability of variance and VaR in international stock markets. We use daily stock index returns for G7 countries
CONTENTS 16.1 Introduction 313 16.2 Methodology 315 16.3 Data 316 16.4 Empirical Results 316 16.5 Conclusion 321 References 322
(the United States, the United Kingdom, Germany, Japan, Canada, France, and Italy) and generate the realized variance and VaR estimates. We then compute the proportion of the 1-month-ahead variance and VaR measures that can be explained by the lagged variance and VaR obtained from the past 1 to 6 months of daily data to determine the predictability of these risk parameters.
