| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085087 | International Review of Financial Analysis | 2013 | 13 Pages |
Abstract
⺠VaR and ES forecasting for fractionally integrated ARCH models for 20 stock indices. ⺠Long memory in conditional variance does not improve the multi-period VaR and ES. ⺠Underestimation of VaR becomes less prevalent as forecasting horizon increases. ⺠Rolling-sampled FIGARCH parameters change less smoothly compared to GARCH models. ⺠Parameters' time-variant character is not entirely due to the news arrival process.
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Authors
Stavros Degiannakis, Christos Floros, Pamela Dent,