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Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions. However, they have not succeeded yet as the developed testing frameworks have not been widely...
Persistent link: https://www.econbiz.de/10012910117
In this paper an asymmetric autoregressive conditional heteroskedasticity (ARCH) model and a Levy-stable distribution are applied to some well-known financial indices (DAX30, FTSE20, FTSE100 and SP500), using a rolling sample of constant size, in order to investigate whether the values of the...
Persistent link: https://www.econbiz.de/10012910128
Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models on the basis of standardized...
Persistent link: https://www.econbiz.de/10012987470
In this report, two important issues that arise in the evaluation of the standardized prediction error criterion (SPEC) model selection method are investigated in the context of a simulated options market. The first refers to the question of whether the performance of the SPEC algorithm is...
Persistent link: https://www.econbiz.de/10012987487
In statistical modeling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered (see, e.g. Xekalaki et al. (2003, in Stochastic Musings, J.Panaretos (ed.), Laurence Erlbaum), Degiannakis and Xekalaki...
Persistent link: https://www.econbiz.de/10014220688
In statistical modeling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered (see, e.g., Xekalaki et al. (2003, in Stochastic Musings, J.Panaretos (ed.), Laurence Erlbaum), Degiannakis and Xekalaki...
Persistent link: https://www.econbiz.de/10014062060