A Generalized SSAR Model and Predictive Distribution with an Application to VaR

Naoto Kunitomo and Seisho Sato
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Naoto Kunitomo: Faculty of Economics, University of Tokyo
Seisho Sato: Institute of Statistical Mathematics

No CIRJE-F-122, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The asymmetrical movements between the downward and upward phases of the sample paths of time series have been sometimes observed. By generalizing the SSAR (simultaneous switching autoregressive) models, we introduce a class of nonlinear time series models having the asymmetrical sample paths in the upward and downward phases. We show that the class of generalized SSAR models is useful for estimating the asymmetrical predictive distribution given the present and past information. Applications to the prediction based on the predictive median and the estimation of the VaR (value at risk) in financial risk management are discussed.

Pages: 22 pages
Date: 2001-07
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2001cf122

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