Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

FIGARCH sign in to follow this
GARCH sign in to follow this
IBEX sign in to follow this
equity index sign in to follow this
Student-t sign in to follow this

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Volatility and VaR Forecasting for the IBEX-35 Stock-Returns Index Using FIGARCH-Type Processes and Different Evaluation Criteria
Company: Instituo Valenciano de Investigaciones Economicas, SA
Year Of Publication: 2003
Month Of Publication: September
Pages: 35
Download Count: 2
View Count: 1424
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-11-2012
Publisher: Administrator
In this paper I analyze the relative performance of Gaussian and Student-t GARCH and FIGARCH type models for volatility and Value-at-Risk forecasting of daily stock-returns using data from the Spanish equity index IBEX-35. The in-sample analysis shows that the Student-t FIAPARCH process provides a better fit than the nested models. Regarding the out-of-sample volatility forecasting, both the Gaussian- and the t-FIAPARCH processes show the best performance, although it is not possible to discriminate between them. As for the models' capacity for VaR forecasting, different results are obtained according to the evaluation criteria considered, although if the aim is regulatory VaR it is shown that the Student-t FIAPARCH model would be clearly the most recommendable.
WP-AD 2033-33
Niguez, Trino-Manuel Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile