Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
(2009) In Econometrics Journal 12(1). p.82-104- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1372519
- author
- Vilhelmsson, Anders LU
- organization
- publishing date
- 2009
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Time varying skewness, Value at Risk, Time varying kurtosis, GARCH, Normal inverse Gaussian distribution
- in
- Econometrics Journal
- volume
- 12
- issue
- 1
- pages
- 82 - 104
- publisher
- Oxford University Press
- external identifiers
-
- wos:000263519800005
- scopus:67650201415
- ISSN
- 1368-423X
- DOI
- 10.1111/j.1368-423X.2008.00277.x
- language
- English
- LU publication?
- yes
- id
- 4aef50f5-1a66-43a2-916d-de4956fed68d (old id 1372519)
- date added to LUP
- 2016-04-01 12:31:52
- date last changed
- 2022-03-29 02:08:14
@article{4aef50f5-1a66-43a2-916d-de4956fed68d, 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.}}, author = {{Vilhelmsson, Anders}}, issn = {{1368-423X}}, keywords = {{Time varying skewness; Value at Risk; Time varying kurtosis; GARCH; Normal inverse Gaussian distribution}}, language = {{eng}}, number = {{1}}, pages = {{82--104}}, publisher = {{Oxford University Press}}, series = {{Econometrics Journal}}, title = {{Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model}}, url = {{http://dx.doi.org/10.1111/j.1368-423X.2008.00277.x}}, doi = {{10.1111/j.1368-423X.2008.00277.x}}, volume = {{12}}, year = {{2009}}, }