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Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

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Table 2: Comparing Forecasting Models: AR, MIDAS and HAR with RV, RAV and CJ as Predictors.
Table 3: Comparing RMSFE of volatility forecasting and Loss Function of VaR forecastsunder different forecasting schemes
Table 4.a: Comparing Accuracy of 5% VaR forecasts with Different Methods of Computing the Predictive Quantiles with Normaldistribution as benchmark.
Table 4.b: Comparing Accuracy of 2.5% VaR forecasts with Different Methods of Computing the Predictive Quantiles with Normaldistribution as benchmark.
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