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- Title
Value at Risk with time varying variance, skewness and kurtosis—the NIG-ACD model.
- Authors
Wilhelmsson, Anders
- Abstract
A new model for financial returns with time varying variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously suggested NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor's 500 returns. All three models perform very well compared with extant models and clearly outperform a Gaussian GARCH model. Moreover, the results show that only the new model cannot be rejected as providing correct conditional VaR forecasts.
- Subjects
ANALYSIS of variance; COST effectiveness; FINANCIAL statements; STATISTICAL correlation; RISK management in business; GAUSSIAN processes; CORPORATE growth; INDUSTRIAL management; STANDARD &; Poor's Ratings Services Inc.
- Publication
Econometrics Journal, 2009, Vol 12, Issue 1, p82
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2008.00277.x