Evaluating VaR (Value-at-Risk): with the ARCH/GARCH class of models - Couverture souple

Skoog, Joakim; Enocksson, David

 
9783659114151: Evaluating VaR (Value-at-Risk): with the ARCH/GARCH class of models
Couverture souple
ISBN 10 : 3659114154 ISBN 13 : 9783659114151
Editeur : LAP LAMBERT Academic Publishing, 2012

Synopsis

With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel’s (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel’s (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series.

Biographie de l'auteur

Authors David Enocksson and Joakim Skoog are students of economics and statistics at Uppsala University. Both are mainly interested in the study of economics and see the usefulness of statistical methods in order to measure societal quantities, and also in developing and evaluating these methods for the use of their own and others.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2012
Langue
anglais
ISBN 10 
3659114154
ISBN 13 
9783659114151
Reliure
Broché
Nombre de pages
52
Coordonnées du fabricant
non disponible
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