Article ID Journal Published Year Pages File Type
5085060 International Review of Financial Analysis 2012 8 Pages PDF
Abstract
►We model financial returns via a GARCH process and Pearson type-IV residuals. ►We examine six major US and European financial indices. ►The performance of the model is examined by a variety of value-at-risk tests. ►The model improves the value of the quasi maximum likelihood estimator. ►The results are in general better compared to the skewed Student-t distribution.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Econometric modeling and value-at-risk using the Pearson type-IV distribution
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