Comparison of VaR estimation methods for different forecasting samples for Russian stocks

Alexandr Shcherba

Applied Econometrics, 2011, vol. 24, issue 4, 58-70

Abstract: The paper aims at finding the most accurate VaR model for the four most liquid Russian stocks. Among the possible VaR modeling techniques, the estimates considered in this work are based on GARCH models with six different distributions. A back testing analysis is performed to evaluate the accuracy of the alternative models and to find the worst predictable period in terms of the volatility behavior.

Keywords: VaR; GARCH; market risk; back testing (search for similar items in EconPapers)
JEL-codes: C32 C58 G32 (search for similar items in EconPapers)
Date: 2011
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