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Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model

Vilhelmsson, Anders LU (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:
author
organization
publishing date
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
Wiley-Blackwell
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
2009-05-08 17:28:21
date last changed
2017-09-10 03:50:05
@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},
  keyword      = {Time varying skewness,Value at Risk,Time varying kurtosis,GARCH,Normal inverse Gaussian distribution},
  language     = {eng},
  number       = {1},
  pages        = {82--104},
  publisher    = {Wiley-Blackwell},
  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},
  volume       = {12},
  year         = {2009},
}