NDLI: Application of EGARCH-GED model in VaR measurement

Content Provider	IEEE Xplore Digital Library
Author	Tianjun Yu Yang Wang
Copyright Year	2010
Description	Author affiliation: School of Management, Harbin Institute of Technology, Harbin, China (Tianjun Yu) \|\| Postdoctoral Research Station, Shanghai International Group (SIG), Shanghai, China (Yang Wang)
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.
Starting Page	32
Ending Page	36
File Size	334224
Page Count	5
File Format	PDF
ISBN	9781424477579
e-ISBN	9781424477593
DOI	10.1109/ICFTE.2010.5499428
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-06-18
Publisher Place	United Arab Emirates
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Value at risk Failure rate test Economic indicators Back testing Finance Humans Data engineering General error distribution Cultural differences EGARCH models Reactive power Production Agriculture Performance analysis Region 5
Content Type	Text
Resource Type	Article

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