EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M.  >
CFS Working Paper Series, Universität Frankfurt a. M. >

Please use this identifier to cite or link to this item:
Title:Accurate Value-at-Risk forecast with the (good old) normal-GARCH model PDF Logo
Authors:Hartz, Christoph
Mittnik, Stefan
Paolella, Marc S.
Issue Date:2006
Series/Report no.:CFS Working Paper 2006/23
Abstract:A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data driven. The results for several different financial asset returns over a long out-of-sample forecasting period, as well as use of simulated data, strongly support use of the new method, and the performance is not sensitive to the choice of L.
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-33294
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
527426911.PDF525.6 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.