Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions

Stefan Mittnik and Marc S. Paolella

No 2003/04, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of modeling foreign exchange-rates and demonstrates their superiority over use of normal or Student's t GARCH models.

Keywords: Risk Management; Value at Risk; Density Forecasting; Predictive Likelihood (search for similar items in EconPapers)
JEL-codes: C22 C51 G10 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/72636/1/03_04.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200304

Access Statistics for this paper

More papers in CFS Working Paper Series from Center for Financial Studies (CFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().