Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.
Overview & Synopsis
For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme quantile estimation. The results are relevant for the estimation of multi-period Value at Risk and prove that the heuristic “square k” rule used in financial risk management is false in the context of GARCH processes.
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Document Information
| Document Title | Multi-period conditional distribution functions for heteroscedastic models with applications to VaR. |
|---|---|
| Author / Organization | Raymond Brummelhuis, Dominique Guegan |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2005 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-241926 |
| Original Source Link | Visit Source Page on hal.science » |