Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/1180
Title: A conditional-SGT-VaR approach with alternative GARCH models
Authors: Bali, Turan G. 
Theodossiou, Panayiotis 
Keywords: GARCH models;Skewed generalized t distribution;Conditional value at risk;Expected shortfall
Issue Date: 2007
Publisher: Springer Netherlands
Source: Annals of Operations Research. Volume 151, Number 1 / April, 2007, pp. 241-267
Abstract: This paper proposes a conditional technique for the estimation of VaR and expected shortfall measures based on the skewed generalized t (SGT) distribution. The estimation of the conditional mean and conditional variance of returns is based on ten popular variations of the GARCH model. The results indicate that the TS-GARCH and EGARCH models have the best overall performance. The remaining GARCH specifications, except in a few cases, produce acceptable results. An unconditional SGT-VaR performs well on an in-sample evaluation and fails the tests on an out-of-sample evaluation. The latter indicates the need to incorporate time-varying mean and volatility estimates in the computation of VaR and expected shortfall measures.
URI: http://ktisis.cut.ac.cy/handle/10488/1180
DOI: 10.1007/s10479-006-0118-4
Rights: © 2007 Springer Science+Business Media, LLC
Type: Article
Appears in Collections:Άρθρα/Articles

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