کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085227 1477938 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Performance and conservatism of monthly FHS VaR: An international investigation
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Performance and conservatism of monthly FHS VaR: An international investigation
چکیده انگلیسی
This study examines 16 models of monthly Value-at-Risk (VaR) for three equity indices with an emphasis on the filtered historical simulation (FHS) technique. We investigate the importance of historical simulation versus a parametrized approach, the presence of filter versus a static modeling of the return distribution, the choice of GARCH versus RiskMetrics conditional variances and the use of monthly versus daily data sampling frequencies. Tests for unconditional and conditional coverage and for independence show that two daily GARCH-type FHS models perform the best. The most conservative daily FHS model, an asymmetric GARCH specification, indicates that the CRSP value-weighted index, the DAX index and the NIKKEI 225 index have a 5% probability of a respective loss averaging at least 6.9%, 8.7% and 9.3% of their value over one month.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 19, Issue 5, December 2010, Pages 323-333
نویسندگان
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