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Τίτλος: A conditional-SGT-VaR approach with alternative GARCH models
Συγγραφείς: Bali, Turan G. 
Theodossiou, Panayiotis 
metadata.dc.contributor.other: Θεοδοσίου, Παναγιώτης
Major Field of Science: Social Sciences
Λέξεις-κλειδιά: GARCH models;Skewed generalized t distribution;Conditional value at risk;Expected shortfall
Ημερομηνία Έκδοσης: Απρ-2007
Πηγή: Annals of Operations Research, 2007, vol. 151, no. 1, pp. 241-267.
Volume: 151
Issue: 1
Start page: 241
End page: 267
Περιοδικό: Annals of Operations Research 
Περίληψη: 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: https://hdl.handle.net/20.500.14279/1002
ISSN: 15729338
DOI: 10.1007/s10479-006-0118-4
Rights: © Springer Nature
Type: Article
Affiliation: Aristotle University of Thessaloniki 
Publication Type: Peer Reviewed
Εμφανίζεται στις συλλογές:Άρθρα/Articles

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