EconPapers    
Economics at your fingertips  
 

Worldwide equity risk prediction

David Ardia and Lennart F. Hoogerheide

Applied Economics Letters, 2013, vol. 20, issue 14, 1333-1339

Abstract: Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The value-at-risk forecast performance is investigated for different markets and industries, considering the test for correct conditional coverage using the false discovery rate (FDR) methodology. For most of the markets and industries, we find the same two conclusions. First, an asymmetric GARCH specification is essential when forecasting the 95% value-at-risk. Second, for both the 95% and 99% value-at-risk, it is crucial that the innovations’ distribution is fat-tailed (e.g. Student- t or -- even better -- a nonparametric kernel density estimate).

Date: 2013
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2013.806775 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Worldwide equity Risk Prediction (2013) Downloads
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: https://EconPapers.repec.org/RePEc:taf:apeclt:v:20:y:2013:i:14:p:1333-1339

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2013.806775

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2020-09-04
Handle: RePEc:taf:apeclt:v:20:y:2013:i:14:p:1333-1339