Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations

DOI10.1016/j.jeconom.2005.08.008zbMath1360.62500OpenAlexW2120387405MaRDI QIDQ276934

Zhendong Xia, Ngai Hang Chan, Shi-Jie Deng, Liang Peng

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.08.008

zbMATH Keywords

value-at-riskheavy tailGARCH modelsdata tiltingtail empirical process

Mathematics Subject Classification ID

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

Related Items (23)

Tilting Methods for Assessing the Influence of Components in a Classifier ⋮ Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness ⋮ SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL ⋮ A practical multivariate approach to testing volatility spillover ⋮ A simulation study on the Markov regime-switching zero-drift GARCH model ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid ⋮ ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION ⋮ NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES ⋮ ESTIMATION-ADJUSTED VAR ⋮ Empirical likelihood based confidence intervals for copulas ⋮ ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA ⋮ MODEL-FREE INFERENCE FOR TAIL RISK MEASURES ⋮ Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models ⋮ ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility ⋮ Extending the Limits of Backtesting via the ‘Vanishing p’‐Approach ⋮ Approximation methods for multiple period Value at Risk and Expected Shortfall prediction ⋮ Where does the tail begin? An approach based on scoring rules ⋮ Probability-unbiased Value-at-Risk estimators ⋮ On the tail index inference for heavy-tailed GARCH-type innovations

Uses Software

• Dowd

Cites Work

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