Model selection based on value-at-risk backtests approach for GARCH-type models
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...
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| Main Author: | |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/22371/1/koh%20you%20beng.pdf http://eprints.um.edu.my/22371/ http://www.isi2019.org/ |
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| Institution: | Universiti Malaya |
| Language: | English |