Value-at-Risk Estimation of Precious Metal Returns using Long Memory GARCH Models with Heavy-Tailed Distribution

2022 ◽  
Vol 11 (1) ◽  
pp. 89-107
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk ◽  
Precious Metal ◽  
Risk Estimation ◽  
Garch Models ◽  
Heavy Tailed Distribution ◽  
Heavy Tailed

scholarly journals Dynamic value at risk estimation for BELEX15

2011 ◽  
Vol 8 (1) ◽  
Author(s):  
Emilija Nikolić-Đorić ◽  
Dragan Đorić
Keyword(s):  
At Risk ◽  
Stock Returns ◽  
Long Memory ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Estimation ◽  
Value Theory ◽  
Garch Models ◽  
Measurement Models ◽  
Standardized Residuals

This paper uses RiskMetrics, GARCH and IGARCH models to calculate daily VaR for Belgrade Stock Exchange index BELEX15 returns based on the normal and Student t innovation distribution. In the case of GARCH and IGARCH models VaR values are obtained applying Extreme Value Theory on the standardized residuals. The Kupiec's LR statistics was used to test the accuracy of risk measurement models. The main conclusions are: (1) when modelling value-at-risk it is very important to have a good model for volatility of stock returns; (2) both stationary and integrated GARCH models outperform RiskMetrics in estimating VaR; (3) although long memory volatility is present in the BELEX15 index, IGARCH models cannot outperform GARCH type models in VaR evaluations for this index.

scholarly journals MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION

2012 ◽  
Vol 15 (04) ◽  
pp. 1250029 ◽  
Author(s):  
CARLO MARINELLI ◽  
STEFANO D'ADDONA ◽  
SVETLOZAR T. RACHEV
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Price ◽  
Risk Estimation ◽  
Price Data ◽  
Heavy Tailed Distributions ◽  
Derivative Instruments ◽  
Heavy Tailed ◽  
Student’S T

For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness. After a discussion of relevant estimation and simulation issues, we conduct a backtesting study on a set of portfolios containing derivative instruments, using historical US stock price data.

VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS

2006 ◽  
Vol 16 (05) ◽  
pp. 371-382 ◽  
Author(s):  
EDMOND H. C. WU ◽  
PHILIP L. H. YU ◽  
W. K. LI
Keyword(s):  
At Risk ◽  
Time Series ◽  
Independent Component Analysis ◽  
Value At Risk ◽  
Risk Estimation ◽  
Multivariate Time Series ◽  
Component Analysis ◽  
Independent Component ◽  
Garch Models ◽  
Computationally Efficient

We suggest using independent component analysis (ICA) to decompose multivariate time series into statistically independent time series. Then, we propose to use ICA-GARCH models which are computationally efficient to estimate the multivariate volatilities. The experimental results show that the ICA-GARCH models are more effective than existing methods, including DCC, PCA-GARCH, and EWMA. We also apply the proposed models to compute value at risk (VaR) for risk management applications. The backtesting and the out-of-sample tests validate the performance of ICA-GARCH models for value at risk estimation.

Value-at-Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long-Memory GARCH Models

2008 ◽  
Vol 7 (1-2) ◽  
pp. 1-19 ◽  
Author(s):  
DAVID G. McMILLAN ◽  
ALAN E. H. SPEIGHT
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk ◽  
Equity Markets ◽  
Garch Models

scholarly journals Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall

2021 ◽  
Author(s):  
Sebastian Letmathe ◽  
Yuanhua Feng ◽  
André Uhde
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Garch Models

scholarly journals Multivariate Heavy-Tailed Models for Value-at-Risk Estimation

2011 ◽  
Author(s):  
Carlo Marinelli ◽  
Stefano d'Addona ◽  
Svetlozar Rachev
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimation ◽  
Heavy Tailed

Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach

2015 ◽  
Vol 51 ◽  
pp. 99-110 ◽  
Author(s):  
Manel Youssef ◽  
Lotfi Belkacem ◽  
Khaled Mokni
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk ◽  
Risk Estimation
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