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A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
Company: The Manchester School
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: December
Resource Link: Click here to open
Download Count: 0
View Count: 1734
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 12-18-2012
Publisher: Administrator
The paper provides a methodological contribution to the multi-step Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting through a new adaptation of the Monte Carlo simulation approach for forecasting multi-period volatility to a Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity (FIGARCH) framework for leptokurtic and asymmetrically distributed portfolio returns. Accounting for long memory within the conditional variance process with skewed Student-t (skT) conditionally distributed innovations, accurate 95 per cent and 99 per cent VaR and ES forecasts are calculated for multi-period time horizons. The results show that the FIGARCH-skT model has a superior multi-period VaR and ES forecasting performance.
Degiannakis, Stavros Sign in to follow this author
Dent, Pamela Sign in to follow this author
Floros, C_hristos Sign in to follow this author
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