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• W2045696885 abstract "The recent financial crisis of 2007–2009 has challenged the requirements of Basel II agreement on capital adequacy as well as, the appropriateness of value-at-risk (VaR) measurement for properly “back-tested” and “stress-tested” models. This paper reconsiders the use of VaR as a measure for potential risk of economic losses in financial markets. We incorporate a GARCH model where the innovation process follows the Pearson-IV distribution, and the results are compared with the skewed Student-t distribution, in the sense of Fernandez and Steel. As case studies we consider the major historical indices of daily returns, DJIA, NASDAQ Composite, FTSE100, CAC40, DAX, and S&P500. VaR and backtesting are performed by the success–failure ratio, the Kupiec LR test, the Christoffersen independence and conditional coverage tests, the expected shortfall with ESF1 and ESF2 measures, and the dynamic quantile test of Engle and Manganelli. The main findings indicate that the Pearson type-IV distribution gives better results, compared with the skewed student distribution, especially at the high confidence levels, providing a very good candidate as an alternative distributional scheme. ►We model financial returns via a GARCH process and Pearson type-IV residuals. ►We examine six major US and European financial indices. ►The performance of the model is examined by a variety of value-at-risk tests. ►The model improves the value of the quasi maximum likelihood estimator. ►The results are in general better compared to the skewed Student-t distribution." @default.
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• W2045696885 date "2012-04-01" @default.
• W2045696885 modified "2023-09-27" @default.
• W2045696885 title "Econometric modeling and value-at-risk using the Pearson type-IV distribution" @default.
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• W2045696885 doi "https://doi.org/10.1016/j.irfa.2012.02.003" @default.
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