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A Simple Estimate of VAR under Garch Modelling

Author

Listed:
  • Reza Habibi

    (Department of Statistics, Central Bank of Iran)

Abstract

This paper calculates Value at Risk under under a GARCH framework for returns, without assuming a given probability distribution for errors of GARCH process. The procedure is given and its accuracy is checked. The bootstrap method is proposed to study the finite sample properties of estimate. Using five examples, we show that our approach works well. The good properties of our approach are proved. A methodology is proposed for selecting the time horizon. Comparisons with JPMorgan Riskmetrics outcomes are performed. Finally, a real data set is considered.

Suggested Citation

  • Reza Habibi, 2011. "A Simple Estimate of VAR under Garch Modelling," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 14(2), pages 127-136, Winter.
    • Handle: RePEc:ekn:ekonom:v:14:y:2011:i:2:p:127-136
    as

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    File URL: http://www.ekonomia.ucy.ac.cy/RePEc/ekn/ekonom/papers/03-11W.pdf
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    References listed on IDEAS

    as
    1. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    4. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G00 - Financial Economics - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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