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https://hdl.handle.net/20.500.14279/1002
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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