Optimal window size detection in Value-at-Risk forecasting: A case study on conditional generalised hyperbolic models

Optimal window size detection in Value-at-Risk forecasting: A case study on conditional generalised hyperbolic models

The conventional parametric approach for financial risk measure estimation involves determining an appropriate quantitative model, as well as a suitable historical sample period in which the model can be trained. While a lion’s share of the existing literature entertains the identification of the m...

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Bibliographic Details
Main Authors: Huang, Chun-Kai, Huang, Karl, Hammujuddy, Jahvaid, Chinhamu, Knowledge
Format: Conference Paper
Language:English
Published: South African Statistical Association 2022
Subjects:
Hyperbolic
MSCI
Normal-inverse Gaussian
Value-at-Risk
Variance-gamma
Window size
Online Access:https://www.journals.ac.za/sasj/Proceedings
http://hdl.handle.net/20.500.11937/92269

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