Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084459 | International Review of Financial Analysis | 2017 | 36 Pages |
Abstract
The multi-period VaR and ES forecasts are estimated for a range of datasets (stock indices, commodities, foreign exchange rates) in order to provide risk managers and financial institutions with information relating the performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts VaR and ES measures adequately at a 95% confidence level. Regarding the 97.5% confidence level that has been recently proposed in the revised 2013 version of Basel III, the GARCH-skT specification provides accurate forecasts of the risk measures for stock indices and exchange rates, but not for commodities (that is Silver and Gold). In the case of the 99% confidence level, we do not achieve sufficiently accurate VaR and ES forecasts for all the assets.
Keywords
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Authors
Stavros Degiannakis, Artemis Potamia,