Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/2074/15286
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dc.contributor.authorBhattacharyya, Malay
dc.date.accessioned2020-09-18T15:39:40Z-
dc.date.available2020-09-18T15:39:40Z-
dc.date.issued2014
dc.identifier.urihttps://repository.iimb.ac.in/handle/2074/15286-
dc.description.abstractThe paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) approach models the inherent autocorrelation and dynamic volatility. Fattailed behavior is modeled in two ways. In the first approach, the ARMA-GARCH process is run assuming alternatively that the standardized residuals are distributed with Pearson Type IV, Johnson SU, Manly’s exponential transformation, normal and t-distributions. In the second approach, the ARMA-GARCH process is run with the pseudonormal assumption, the parameters calculated with the pseudo maximum likelihood procedure, and the standardized residuals are later alternatively modeled with Mixture of Normal distributions, Extreme Value Theory and other power transformations such as John-Draper, Bickel-Doksum, Manly, Yeo-Johnson and certain combinations of the above. The first approach yields five models, and the second ap-proach yields nine. These are tested with six equity index return time series using rolling windows. These models are compared by computing the 99%, 97.5% and 95% VaR violations and contrasting them with the expected number of violations.
dc.subjectDynamic VaR
dc.subjectGARCH
dc.subjectEVT
dc.subjectJohnson SU
dc.subjectPearson Type IV
dc.subjectMixture of Normal Distributions
dc.subjectManly
dc.subjectJohn Draper
dc.subjectYeo-Johnson Transformations
dc.titleA comparison of VaR estimation procedures for Leptokurtic Index Returns
dc.typePresentation
dc.relation.conferenceNational Conference on Recent Advances in Statistics and their Applications to Finance, Actuarial Science and other areas, 14-15 February, 2014, Central University of Rajasthan, Jaipur
Appears in Collections:2010-2019 P
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