Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology

Ewa Ratuszny (ewa.ratuszny@sgh.waw.pl)
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Ewa Ratuszny: Warsaw School of Economics

Central European Journal of Economic Modelling and Econometrics, 2013, vol. 5, issue 1, 35-63

Abstract: In the paper we present robust estimation methods based on bounded innovation propagation filters and quantile regression, applied to measure Value at Risk. To illustrate advantage connected with the robust methods, we compare VaR forecasts of several group of instruments in the period of high uncertainty on the financial markets with the ones modelled using traditional quasi-likelihood estimation. For comparative purpose we use three groups of tests i.e. based on Bernoulli trial models, on decision making aspect, and on the expected shortfall.

Keywords: Robust estimation; quantile regression; CAViaR; ARMA-GARCH models (search for similar items in EconPapers)
JEL-codes: C22 G17 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:5:y:2013:i:1:p:35-63

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