Model selection based on value-at-risk backtesting approach for GARCH-type models

DOI10.3934/JIMO.2019021MaRDI QIDQ2190298zbMATH OpenOpenAlexWikidataFDO

Authors Hao-Zhe Tay, Kok-Haur Ng, You-Beng Koh, K. H. Ng

Publication date 18 June 2020

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2019021

zbMATH Keywords

backtestGARCH modelmodel selectionskewed distributionvalue-at-risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• A review of backtesting for value at risk
• Analysis of financial time series
• Asymmetric GARCH processes featuring both threshold effect and bilinear structure
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• BL-GARCH models and asymmetries in volatility
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
• On Bayesian Modeling of Fat Tails and Skewness
• Properties and estimation of asymmetric exponential power distribution
• Quadratic ARCH Models
• The use of GARCH models in VaR estimation
• Value-at-Risk Prediction: A Comparison of Alternative Strategies

Cited in

(1)

• GARCH model selection criteria

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Uses Software

• CAViaR

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