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Multi-period conditional distribution functions for heteroscedastic models with applications to VaR

Author

Listed:
  • Raymond Brummelhuis

    (Birckbeck College - Birckbeck College)

  • Dominique Guegan

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme quantile estimation. The results are relevant for the estimation of multi-period Value at Risk and prove that the heuristic "square k" rule used in financial risk management is false in the context of GARCH processes.

Suggested Citation

  • Raymond Brummelhuis & Dominique Guegan, 2005. "Multi-period conditional distribution functions for heteroscedastic models with applications to VaR," Post-Print halshs-00179336, HAL.
    • Handle: RePEc:hal:journl:halshs-00179336
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00179336
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    File URL: https://shs.hal.science/halshs-00179336/document
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    Citations

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    Cited by:

    1. Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "What is the Best Approach to Measure the Interdependence between Different Markets?," Working papers 95, Banque de France.
    2. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," PSE-Ecole d'économie de Paris (Postprint) halshs-00375765, HAL.
    3. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Post-Print halshs-00375765, HAL.

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