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Modelling and Forecasting Value at Risk and Expected Shortfall for GCC Stock Markets: Do Long Memory, Structural Breaks, Asymmetry, and Fat Tails Matter
Company: North American Journal of Economics and Finance
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Download Count: 0
View Count: 780
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-31-2014
Publisher: Administrator
Summary
Empirically, we test the occurrence of structural breaks in the GCC return data using the Inclan and Tiao (1994)’s algorithm and we check the relevance of LM using Shimotsu (2006) procedure before estimating the ARFIMA-FIGARCH and ARFIMA-FIAPARCH models with different innovations’ distributions and computing VaR and ES. Our results show that all the GCC market's volatilities exhibit significant structural breaks matching mainly with the 2008–2009 global financial crises and the Arab spring. Also, they are governed by LM process either in the mean or in the conditional variance which cannot be due to the occurrence of structural breaks. Furthermore, the forecasting ability analysis shows that the FIAPARCH model under skewed Student-t distribution turn out to improve substantially the VaR and the ES forecasts.
Author(s)
Aloui, Chaker Sign in to follow this author
ben Hamida, Hela Sign in to follow this author
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