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 0277-6693Full text not available from this repository.
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.
|Journal or Publication Title:||Journal of Forecasting|
|Uncontrolled Keywords:||value-at-risk ; GARCH ; GJR ; M-estimators ; M-tests for financial data|
|Subjects:||Q Science > QA Mathematics|
|Departments:||Faculty of Science and Technology > Mathematics and Statistics|
|Deposited On:||22 May 2012 12:05|
|Last Modified:||09 Feb 2016 01:10|
Actions (login required)