Model selection based on value-at-risk backtests approach for GARCH-type models

• المؤلف الرئيسي: Koh, You Beng
• التنسيق: Conference or Workshop Item
• اللغة: English
• منشور في: 2019
• الموضوعات: Q Science (General); QA Mathematics
• الوصول للمادة أونلاين: http://eprints.um.edu.my/22371/1/koh%20you%20beng.pdf; http://eprints.um.edu.my/22371/; http://www.isi2019.org/
• المؤسسة: Universiti Malaya

This paper aims to investigate the efficiency of the value-at-risk (VaR) backtests in the model selection from different types of generalised autoregressive conditional heteroskedasticity (GARCH) models with skewed and non-skewed innovation distributions. Extensive simulation is carried out to compa...