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

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.

MoreLess

Year of publication:	2011
Authors:	Shcherba, Alexandr
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 24.2011, 4, p. 58-70
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	VaR \| GARCH \| market risk \| back testing

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	C32 - Time-Series Models ; c58 ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010841045