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|Title:||Accurate Value-at-Risk forecast with the (good old) normal-GARCH model |
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.|
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