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
Full text not available from this repository.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: | Article |
|---|---|
| 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 |
| ID Code: | 54452 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 22 May 2012 12:05 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 20:26 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/54452 |
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