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VaR Prediction for Emerging Stock Markets: GARCH Filtered Skewed t Distribution and GARCH Filtered EVT Method
Company: Federal Reserve Bank of Richmond
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: January
Pages: 32
Download Count: 7
View Count: 1591
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-5-2014
Publisher: Administrator
Summary
Using a long time series of stock index data from twelve emerging markets, this study compares the performances of ten different market risk models by predicting one day ahead Value-at-Risk and backtesting these predictions. In addition to simple benchmark models and well known models from the existing literature, such as the GARCH-EVT model of McNeil and Frey (2000), a new two step methodology is proposed. This method involves estimation of a GARCH model for returns with quasi maximum likelihood estimation in the first step and subsequent modeling of filtered returns using Azzalini and Capitanio (2003) type skewed t distribution.
Author(s)
Ergen, Ibrahim Sign in to follow this author
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