Economics at your fingertips  

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

Jochen Krause () and Marc S. Paolella ()
Additional contact information
Jochen Krause: Department of Banking and Finance, University of Zurich, CH-8032 Zurich, Switzerland
Marc S. Paolella: Department of Banking and Finance, University of Zurich, CH-8032 Zurich, Switzerland

Econometrics, 2014, vol. 2, issue 2, 1-25

Abstract: A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually outperforms highly competitive models. Most remarkably, this is the case also for sample sizes as small as 250.

Keywords: GARCH; mixture-normal-GARCH; noncentral t; lookup table (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

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:

Access Statistics for this article

Econometrics is currently edited by Prof. Dr. Kerry Patterson

More articles in Econometrics from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

Page updated 2020-08-06
Handle: RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459