The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey

Atilla Cifter () and Alper Ozun ()

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this study is to test predictive performance of Asymmetric Normal Mixture Garch (NMAGARCH) and other Garch models based on Kupiec and Christoffersen tests for Turkish equity market. The empirical results show that the NMAGARCH perform better based on %99 CI out-of-sample forecasting Christoffersen test where Garch with normal and student-t distribution perform better based on %95 Cl out-of-sample forecasting Christoffersen test and Kupiec test. These results show that none of the model including NMAGARCH outperforms other models in all cases as trading position or confidence intervals and these results shows that volatility model should be chosen according to confidence interval and trading positions. Besides, NMAGARCH increases predictive performance for higher confidence internal as Basel requires.

Keywords: Garch; Asymmetric Normal Mixture Garch; Kupiec Test; Christoffersen Test; Emerging markets (search for similar items in EconPapers)
JEL-codes: G00 C52 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cwa, nep-ets, nep-for and nep-rmg
Date: 2007-01-01
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:2489

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