Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and the historical simulation models depending on the stability of financial markets
Mateusz Buczyński, Marcin Chlebus ; University of Warsaw, Faculty of Economic Sciences
| Year of publication: |
2017
|
|---|---|
| Authors: | Buczyński, Mateusz ; Chlebus, Marcin |
| Institutions: | Uniwersytet Warszawski / Wydział Nauk Ekonomicznych (issuing body) |
| Publisher: |
Warsaw : University of Warsaw, Faculty of Economic Sciences |
| Subject: | Risikomaß | Risk measure | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
freely available