A study of Value-at-Risk based on M-estimators of the conditional heteroscedastic models

Mukherjee, Kanchan and Iqbal, Farhat (2012) A study of Value-at-Risk based on M-estimators of the conditional heteroscedastic models. Journal of Forecasting, 31 (5). pp. 377-390. ISSN 0277-6693

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Abstract

In this paper, we investigate the performance of a class of M-estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of value-at-risk. The class of estimators includes the least absolute deviation (LAD), Huber’s, Cauchy and B-estimator, as well as the well-known quasi maximum likelihood estimator (QMLE). We use a wide range of summary statistics to compare both the in-sample and out-of-sample VaR estimates of three well-known stock indices. Our empirical study suggests that in general Cauchy, Huber and B-estimator have better performance in predicting one-step ahead VaR than the commonly used QMLE.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Forecasting
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/qa
Subjects:
?? VALUE-AT-RISKGARCH GJR M-ESTIMATORS M-TESTS FOR FINANCIAL DATAMATHEMATICS AND STATISTICSMODELLING AND SIMULATIONSTRATEGY AND MANAGEMENTMANAGEMENT SCIENCE AND OPERATIONS RESEARCHSTATISTICS, PROBABILITY AND UNCERTAINTYCOMPUTER SCIENCE APPLICATIONSQA MATHEMA ??
ID Code:
54452
Deposited By:
Deposited On:
22 May 2012 11:05
Refereed?:
Yes
Published?:
Published
Last Modified:
16 Sep 2023 00:42