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http://hdl.handle.net/10419/25489
  
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.
Subjects:Bootstrap
GARCH
Value-at-Risk
JEL:C22
C53
C63
G12
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.

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