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

GARCH sign in to follow this
non-normality sign in to follow this
copula sign in to follow this
ES sign in to follow this
shortfall sign in to follow this
CVaR sign in to follow this
equity indexes sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Forecasting the Risk of Speculative Assets by Means of Copula Distributions
Year Of Publication: 2013
Month Of Publication: January
Resource Link: Click here to open
Pages: 35
Download Count: 0
View Count: 968
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-27-2013
Publisher: Administrator
Summary
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the predictive content of uncorrelated, yet dependent model innovations. The adjustment is motivated by non-Gaussian characteristics of model residuals, and is implemented in a semiparametric fashion by means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models.
This document may be downloaded without charge from RePEc.org by clicking the 'Buy from Publisher' button.
Author(s)
Herwartz, Helmut Sign in to follow this author
Beckers, Benjamin Sign in to follow this author
Seidel, Moritz 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?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile