Value-at-risk for Long and Short Trading Positions.

In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed density models when the left and right tails of the distribution of returns must be modelled.

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Year of publication:	2001
Authors:	Giot, P. ; Laurent, S.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	RISK \| EXPECTATIONS \| STUDENTS

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669280