Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.

For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme quantile estimation. The results are relevant for the estimation of multi-period Value at Risk and prove that the heuristic “square k” rule used in financial risk management is false in the context of GARCH processes.

MoreLess

Year of publication:	2005
Authors:	Brummelhuis, Raymond ; Guegan, Dominique
Institutions:	HAL
Subject:	GARCH models \| Large deviation probabilities \| Laplace integrals \| Value at risk

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179336/en/ Published, Journal of Applied Probability, 2005, 42, 2, 35-55
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008792107