期刊
ANNALS OF OPERATIONS RESEARCH
卷 151, 期 1, 页码 241-267出版社
SPRINGER
DOI: 10.1007/s10479-006-0118-4
关键词
GARCH models; skewed generalized t distribution; conditional value at risk; expected shortfall
This paper proposes a conditional technique for the estimation of VaR and expected shortfall measures based on the skewed generalized t (SGT) distribution. The estimation of the conditional mean and conditional variance of returns is based on ten popular variations of the GARCH model. The results indicate that the TS-GARCH and EGARCH models have the best overall performance. The remaining GARCH specifications, except in a few cases, produce acceptable results. An unconditional SGT-VaR performs well on an in-sample evaluation and fails the tests on an out-of-sample evaluation. The latter indicates the need to incorporate time-varying mean and volatility estimates in the computation of VaR and expected shortfall measures.
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