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• W2024226278 abstract "We evaluate the performance of several volatility models in estimating one-day-ahead Value-at-Risk (VaR) of seven stock market indices using a number of distributional assumptions. Because all returns series exhibit volatility clustering and long range memory, we examine GARCH-type models including fractionary integrated models under normal, Student-t and skewed Student-t distributions. Consistent with the idea that the accuracy of VaR estimates is sensitive to the adequacy of the volatility model used, we find that AR (1)-FIAPARCH (1,d,1) model, under a skewed Student-t distribution, outperforms all the models that we have considered including widely used ones such as GARCH (1,1) or HYGARCH (1,d,1). The superior performance of the skewed Student-t FIAPARCH model holds for all stock market indices, and for both long and short trading positions. Our findings can be explained by the fact that the skewed Student-t FIAPARCH model can jointly accounts for the salient features of financial time series: fat tails, asymmetry, volatility clustering and long memory. In the same vein, because it fails to account for most of these stylized facts, the RiskMetrics model provides the least accurate VaR estimation. Our results corroborate the calls for the use of more realistic assumptions in financial modeling." @default.
• W2024226278 created "2016-06-24" @default.
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• W2024226278 date "2012-08-01" @default.
• W2024226278 modified "2023-10-01" @default.
• W2024226278 title "Parametric Value-at-Risk analysis: Evidence from stock indices" @default.
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• W2024226278 doi "https://doi.org/10.1016/j.qref.2012.04.006" @default.
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