Simulation based approach in evaluation of alternative VaR models in the presence of ARCH effects

QR Code

Simulation based approach in evaluation of alternative VaR models in the presence of ARCH effects

In this paper, we examine the performance of 8 different models in VaR forecasting via simulation approach. Artificial returns are obtained from true data generating processes devoted to replicating realistically FTSE100 daily returns. Distributions of percentage errors of VaR estimates are consider...

Full description

Bibliographic Details
Main Author:	Mukasheva, Aigerim
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2012
Online Access:	https://eprints.nottingham.ac.uk/25816/

Similar Items

Empirical Research on Relationships Between Marginal-VaR, Component-VaR and Incremental-VaR
by: Li, Kai
Published: (2013)

Backtesting in VaR Models of Bitcoins
by: Shen, Jiadi
Published: (2018)

On the performance of the minimum VaR portfolio
by: Durand, Robert, et al.
Published: (2010)

Assessing the performance of the VaR models on nonlinear portfolio
by: ZHU, Guantao
Published: (2013)

Mean-VaR portfolio optimization: a nonparametric approach
by: Lwin, Khin T., et al.
Published: (2017)

Evaluation of the Predictive Ability of VaR Models during Different Market Conditions.
by: Liew, KeiYan
Published: (2014)

An Empirical Study on Value-at-Risk and Backtesting VaR Models
by: Zhao, Xinran
Published: (2014)

Backtesting VaR for Hong Kong Financial Stocks
by: Lui, Chun Yin
Published: (2022)

Maximize the Sharpe ratio and minimize a VaR
by: Durand, Robert, et al.
Published: (2010)

The Accuracy and Disclosure of VaR by banks : Evidence from the UK
by: Nassar, Dalia/D.N
Published: (2011)

Development of Value at Risk(VaR) models with applications to Malaysian capital market
by: Yap, Voon Choong
Published: (2004)

Evaluating the Performance of Chinese Mutual Funds: A Study of the Application of Value-at-Risk (VaR)
by: Feng, Jingyan
Published: (2008)

An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
by: Gao, Song
Published: (2014)

Explore VaR implementation in the Chinese Bank Context and Risk Management Officers' Understanding
by: Zhou, Mo
Published: (2006)

The Application of GARCH-VaR models in Chinese Commercial Banks for the Foreign Exchange Rate Risks Management
by: CHANG, L.
Published: (2020)

Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.
by: Ou, Shian Kao
Published: (2006)

Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.
by: Ou, Shian Kao
Published: (2006)

Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.
by: Ou, Shian Kao
Published: (2006)

A Study Of Kuala Lumpur Composite Index Futures (FKLI) : Technical Indicator And Value-At Risk (VaR)
by: Lim, Ming Chun
Published: (2008)

Keberkesanan dasar kadar pertukaran tetap: analisis VaR ke atas pasaran saham di BSKL
by: Abu Hassan Shaari Mohd Nor,, et al.
Published: (2004)

Can Chinese security companies use Value at Risk (VaR) to measure market risk they faced: an empirical study?
by: Tan, Xiao
Published: (2006)

Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
by: Liew, Venus Khim-Sen, et al.
Published: (2005)

Understanding stress using EEG-VA approach
by: Abdul Rahman, Abdul Wahab, et al.
Published: (2011)

The Analysis of Systemic Risk of Commercial Banks in China Using CoVaR
by: Yin, Rui
Published: (2014)

Evaluation Of Crack On Arch Structures Using The Digital Image
by: Chan, Yi Zhe
Published: (2021)

Va’dedilmiş cehennem (Promised hell)
by: Kayadibi, Saim
Published: (2009)

Arching in Ground Improvement
by: Hamidi, Babak, et al.
Published: (2009)

Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility
by: Xie, Zhao
Published: (2014)

Numerical simulations of stiffened multi-arch double-layered panels subjected to blast loading
by: Chen, Wensu, et al.
Published: (2013)

Forecasting currency in circulation in Malaysia using arch and garch models
by: Abdul Razak, Nur Azreen, et al.
Published: (2018)

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
by: Harris, David, et al.
Published: (2016)

Design an arch footbridge / Khairunnisa Muhamad
by: Muhamad, Khairunnisa
Published: (2006)

The Foot's Arch and the Energetics of Human Locomotion
by: Stearne, Sarah, et al.
Published: (2016)

Masonry Arch Bridge: Analysis & Assessment
by: Rahman, Muhammad
Published: (2011)

Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
by: Chin, Wen Cheong, et al.
Published: (2009)

Numerical modelling of arching in piled embankments including the effects of reinforcement and subsoil
by: Zhuang, Yan
Published: (2009)

Inflation uncertainty and economic growth: evidence from the LAD ARCH model
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2011)

Determination of tooth size and arch dimension in a pakistani population: a novel approach utilizing digital model
by: Shahid, Fazal
Published: (2015)

The use of arch as a key component of architecture
by: Khan, Nadeem Ullah, et al.
Published: (2000)

Analysis of hybrid arch and cable-stayed bridge
by: Hasmida, Noordin
Published: (2015)