Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data

Amine Jalal and Michael Rockinger ()
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Amine Jalal: HEC-University of Lausanne and FAME

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: We investigate the consequences for value-at-risk and expected short-fall purposes of using a GARCH filter on various mis-specified processes. We show that careful investigation of the adequacy of the GARCH filter is necessary since under mis-specifications a GARCH filter appears to do more harm than good. Using an unconditional non filtered tail estimate appears to perform satisfactorily for dependent data with a degree of dependency corresponding to actual market conditions.

Keywords: Extreme value theory; Value at Risk (VaR); Expected shortfall; GARCH; Markov switching; Jump diffusion; Backtesting. (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
Date: 2004-06
New Economics Papers: this item is included in nep-cfn, nep-ets, nep-fin and nep-rmg
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Related works:
Journal Article: Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data (2008)
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