Bookcover of Evaluating VaR (Value-at-Risk)
Booktitle:

Evaluating VaR (Value-at-Risk)

with the ARCH/GARCH class of models

LAP LAMBERT Academic Publishing (2012-06-14 )

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ISBN-13:

978-3-659-11415-1

ISBN-10:
3659114154
EAN:
9783659114151
Book language:
English
Blurb/Shorttext:
With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel’s (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Joakim Skoog, David Enocksson
Number of pages:
52
Published on:
2012-06-14
Stock:
Available
Category:
Economics
Price:
49.00 €
Keywords:
GARCH, Exchange Rates, ARCH, Value-at-Risk, GJR-GARCH, Conditional Variance, Volatility Forecasting

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