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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Ardia, David; Hoogerheide, Lennart - 2013

quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …

Persistent link: https://www.econbiz.de/10010326343

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment …

Persistent link: https://www.econbiz.de/10010288306

Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

Broda, Simon A. - 2013

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...

Persistent link: https://www.econbiz.de/10010326235

How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice

Halbleib, Roxana; Dimitriadis, Timo - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

Persistent link: https://www.econbiz.de/10012099231

A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been identified with using VaR for determining regulatory capital...

Persistent link: https://www.econbiz.de/10011288403

Value-at-risk on Central and Eastern European stock markets: An empirical investigation using GARCH models

Bubák, Vít - 2008

set of univariate GARCH-type models. Our results show that, in both in-sample and out-of-sample value-at-risk estimations …

Persistent link: https://www.econbiz.de/10010322212

Bayesian Risk Forecasting for Long Horizons

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not only for the 10-days-ahead horizon required by the...

Persistent link: https://www.econbiz.de/10012114771

Partially Censored Posterior for Robust and Efficient Risk Evaluation

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive density of logreturns. Our proposed approach...

Persistent link: https://www.econbiz.de/10012114810

Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015

Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: “a number of...

Persistent link: https://www.econbiz.de/10011451509

Good-deal bounds for option prices under value-at-risk and expected shortfall constraints

Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - In: Risks 8 (2020) 4, pp. 1-22

In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns. We show that the pricing bounds obtained from the...

Persistent link: https://www.econbiz.de/10013200647