Application of EGARCH-GED model in VaR measurement

Author

Yu, Tianjun ; Wang, Yang

Author_Institution

Sch. of Manage., Harbin Inst. of Technol., Harbin, China

fYear

2010

fDate

18-20 June 2010

Firstpage

32

Lastpage

36

Abstract

The GARCH model is used in simulating the volatility and VaR of the financial assets. The paper established an EGARCH-GED model to calculate the time varying VaR. Compared the VaR of the EGARCH-GED model and the GARCH model under the normal distribution and T distribution respectively, The paper checked the anticipated VaR in the previous step by employing failure rate test and back-testing. The result shows that GED distribution is fitted with the fat tail feature of the financial assets. Under different confident levels, the VaR predicated by EGARCH-GED is more accurate and has more low level risk to be overestimated or underestimated.

Keywords

autoregressive processes; financial management; statistical distributions; EGARCH-GED model; T distribution; VaR measurement; autoregressive conditional heteroscedastic models; back-testing; confident levels; failure rate test; financial assets; normal distribution; value-at-risk; Agriculture; Cultural differences; Data engineering; Economic indicators; Finance; Humans; Performance analysis; Production; Reactive power; Region 5; EGARCH models; back testing; failure rate test; general error distribution; value at risk;

fLanguage

English

Publisher

ieee

Conference_Titel

Financial Theory and Engineering (ICFTE), 2010 International Conference on

Conference_Location

Dubai

Print_ISBN

978-1-4244-7757-9

Electronic_ISBN

978-1-4244-7759-3

Type

conf

DOI

10.1109/ICFTE.2010.5499428

Filename

5499428