頁籤選單縮合
題 名 | On Conditional Moments of Garch Models, with Applications to Multiple Period Value at Risk Estimation |
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作 者 | Wong,Chi-ming; So,Mike K. P.; | 書刊名 | Statistica Sinica |
卷 期 | 13:4 2003.10[民92.10] |
頁 次 | 頁1015-1044 |
分類號 | 319.5 |
關鍵詞 | Aggregate returns; Heteroskedastic models; Kurtosis; Monte carlo methods; Skewness; Square root of time rule; Volatility; |
語 文 | 英文(English) |
英文摘要 | In this article, the exact conditional second, third and fourth moments of returns and their temporal aggregates are derived under Quadratic GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods are based on the exact second to fourth moments and the other adopts a Monte Carlo approach. Some simulations show that the multiple period Value at Risk calculated from an asymmetric t-distribution with the variance, skewness parameter and the degrees of freedom chosen to match the second to fourth moments of the aggregate returns is close to the one obtained by Monte Carlo simulations. Using some market indices for illustration, the proposed Value at Risk estimation methods are found to be superior to some standard approaches such as RiskMetrics. |
本系統中英文摘要資訊取自各篇刊載內容。