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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:
http://hdl.handle.net/10419/25489
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| Title: | | Accurate Value-at-Risk forecast with the (good old) normal-GARCH model  |
| 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. |
| Subjects: | | Bootstrap GARCH Value-at-Risk |
| JEL: | | C22 C53 C63 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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