A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

被引：14

作者：

Krause, Jochen ^{[1
]}

Paolella, Marc S. ^{[1
,2
]}

机构：

[1] Univ Zurich, Dept Banking & Finance, CH-8032 Zurich, Switzerland

[2] Swiss Finance Inst, CH-8006 Zurich, Switzerland

来源：

ECONOMETRICS | 2014年 / 2卷 / 02期

基金：

瑞士国家科学基金会;

关键词：

GARCH; mixture-normal-GARCH; noncentral t; lookup table;

D O I：

10.3390/econometrics2020098

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually outperforms highly competitive models. Most remarkably, this is the case also for sample sizes as small as 250.

引用

页码：98 / 122

页数：25

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