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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: 1205
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-11-2012
Publisher: Administrator
Summary
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.
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Author(s)
Niguez, Trino-Manuel Sign in to follow this author
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