Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model

DOI10.1080/00949651003752320MaRDI QIDQ4914961zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Taewook Lee

Publication date 16 April 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949651003752320

zbMATH Keywords

ARMA-GARCH modelGaussian mixture modelresidualsvalue-at-risk

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Comparison of Minimum Distance and Maximum Likelihood Estimation of a Mixture Proportion
• Bayesian estimation of the Gaussian mixture GARCH model
• Consistent estimation of a mixing distribution
• Finite mixture models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Note on the consistency of the maximum likelihood estimate for nonidentifiable distributions
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Stationarity of GARCH processes and of some nonnegative time series
• Testing the stable Paretian assumption
• The impact of general non-parametric volatility functions in multivariate GARCH models

Cited in

(13)

• Accurate value-at-risk forecasting based on the normal-GARCH model
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Model selection based on value-at-risk backtesting approach for GARCH-type models
• Test for tail index constancy of GARCH innovations based on conditional volatility
• An approach to VaR for capital markets with Gaussian mixture
• On accuracy of long-term risk forecasts by normal variance-mean mixtures decomposition algorithm
• scientific article; zbMATH DE number 2033194 (Why is no real title available?)
• Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
• A new approach to Value-at-Risk: GARCH-TSLx model with inference
• On a control chart for the Gini index with simulations
• On entropy-based goodness-of-fit test for asymmetric Student-t and exponential power distributions
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models
• Copula-based estimation of value at risk for the portfolio problem

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