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EWMA sign in to follow this
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skewness sign in to follow this
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Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
Year Of Publication: 2012
Month Of Publication: June
Pages: 33
Download Count: 5
View Count: 1120
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-9-2012
Publisher: Administrator
Summary
This paper proposes an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density in which skewness and kurtosis appear directly in the functional form of this density. VaR can be described by applying the Cornish-Fisher expansion series of the first four moments. An evaluation of the predictive performance of the proposed model in the estimation of 1-day and 10-day VaR forecasts is performed in comparison with the historical simulation, filtered historical simulation and GARCH model. The adequacy of the VaR forecasts is evaluated under the unconditional, independence and conditional likelihood ratio tests as well as Basel II regulatory tests.
Author(s)
Kirchner, Axel Sign in to follow this author
Gabrielsen, Alexandros Sign in to follow this author
Zagaglia, Paolo Sign in to follow this author
Liu, Zhuoshi Sign in to follow this author
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