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Modeling and Forecasting Volatility – How Reliable are modern day approaches?
Mehta, Anirudh; Kanishka, Kunal - Volkswirtschaftliche Fakultät, … - 2014
constructed by (1) GARCH, (2) TGARCH, (3) Risk metrics and (4) Historical volatility. Volatility forecasts suggest that TGARCH … performs relatively best in term of MSPE, followed by GARCH, Risk metrics and historical volatility. In terms of VaR, we test …
Persistent link: https://www.econbiz.de/10011109012
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Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...
Persistent link: https://www.econbiz.de/10011109117
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Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
El Ghourabi, Mohamed; Francq, Christian; Telmoudi, Fedya - Volkswirtschaftliche Fakultät, … - 2013
each other, and we finally obtain a consistent estimator of the conditional VaR. For a wide class of GARCH models, we …$ depends neither on the GARCH parameter nor on the risk level, but only on the distribution of the innovations. A simple …
Persistent link: https://www.econbiz.de/10011112831
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Jump processes in natural gas markets
Mason, Charles F.; A. Wilmot, Neil - In: Energy Economics 46 (2014) S1, pp. 69-69
Many analysts believe that natural gas will have an increasingly important role in the next few decades. Accordingly, understanding the underpinnings of natural gas prices is likely to be critical, both to policy analysts and to market participants. At present, it is common to assume that these...
Persistent link: https://www.econbiz.de/10011115901
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A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of Empirical Finance 29 (2014) C, pp. 207-229
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH …
Persistent link: https://www.econbiz.de/10011116269
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of Banking & Finance 37 (2013) 3, pp. 847-853
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10011065737
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The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa
Bonga-Bonga, Lumengo; Umoetok, Ekerete - Volkswirtschaftliche Fakultät, … - 2015
multivariate GARCH methods are most effective over weekly and monthly hedging periods. …
Persistent link: https://www.econbiz.de/10011204412
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10010564003
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Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011
-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between …
Persistent link: https://www.econbiz.de/10011256766
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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 - Tinbergen Instituut - 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/10011257409