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Econometrics 2014, 2(2), 98-122; doi:10.3390/econometrics2020098
Article

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

1 and 1,2,*
Received: 5 June 2014; in revised form: 21 June 2014 / Accepted: 22 June 2014 / Published: 25 June 2014
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Abstract: A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually outperforms highly competitive models. Most remarkably, this is the case also for sample sizes as small as 250.
Keywords: GARCH; mixture-normal-GARCH; noncentral t; lookup table GARCH; mixture-normal-GARCH; noncentral t; lookup table
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Krause, J.; Paolella, M.S. A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. Econometrics 2014, 2, 98-122.

AMA Style

Krause J, Paolella MS. A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. Econometrics. 2014; 2(2):98-122.

Chicago/Turabian Style

Krause, Jochen; Paolella, Marc S. 2014. "A Fast, Accurate Method for Value-at-Risk and Expected Shortfall." Econometrics 2, no. 2: 98-122.


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