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Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility
Company: University of Venice
Year Of Publication: 2002
Month Of Publication: August
Pages: 34
Download Count: 547
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 6-25-2005
Publisher: Administrator
This work analyze different approaches in th evaluation of Value-at-Risk measures. In a Monte Carlo study we choose from among alternative models (GRCH, ICARCH, FIGARCH DGP, and EWMA). Some tests for model selection in the literature lead to choosing a misspecified model. We apply the results to the FIB30.
Caporin, Massimiliano Sign in to follow this author
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