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• W2186248759 abstract "A new model for conditional skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. All three models perform very well compared to extant models and clearly outperform a Gaussian GARCH model. Moreover, the results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR." @default.
• W2186248759 created "2016-06-24" @default.
• W2186248759 creator A5052319964 @default.
• W2186248759 date "2006-01-01" @default.
• W2186248759 modified "2023-09-27" @default.
• W2186248759 title "An extension of the NIG-S&ARCH model with an application to Value at Risk" @default.
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• W2186248759 hasPublicationYear "2006" @default.
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