On Conditional Moments of GARCH Models, with Applications to Multiple Period Value at Risk Estimation

Wong, D; So, MK

On Conditional Moments of GARCH Models, with Applications to Multiple Period Value at Risk Estimation

Wong, D So, MK

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Publisher:: Institute of Statistical Science, Academia Sinica & International Chinese Statistical Association
Publication Type:: Journal Article
Citation:: Statistica Sinica, 2003, 13 (4), pp. 1015 - 1044
Issue Date:: 2003-01

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Field	Value	Language
dc.contributor.author	Wong, D	en_US
dc.contributor.author	So, MK	en_US
dc.date.issued	2003-01	en_US
dc.identifier.citation	Statistica Sinica, 2003, 13 (4), pp. 1015 - 1044	en_US
dc.identifier.issn	1017-0405	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14533
dc.description.abstract	In this article, the exact conditional second and fourth moments of returns and their temporal aggregates are derived under GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods are based on the exact second and fourth moments and the other adopts a Monte Carlo approach. Some simulations show that the multiple period Value at Risk calculated from a tdistribution with the variance and the degrees of freedom chosen to match the second and fourth moments of the aggregate returns is close to the one obtained by Monte Carlo simulations. Using some market indices for illustration, the proposed Value at Risk estimation methods are found to be superior to some standard approaches such as RiskMetrics.	en_US
dc.format	No Code	en_US
dc.publisher	Institute of Statistical Science, Academia Sinica & International Chinese Statistical Association	en_US
dc.relation.ispartof	Statistica Sinica	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	On Conditional Moments of GARCH Models, with Applications to Multiple Period Value at Risk Estimation	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	13	en_US
utslib.for	0104 Statistics	en_US
utslib.for	0801 Artificial Intelligence and Image Processing	en_US
utslib.for	0199 Other Mathematical Sciences	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
utslib.copyright.status	open_access
pubs.consider-herdc	false	en_US
pubs.issue	4	en_US
pubs.volume	13	en_US

Abstract:

In this article, the exact conditional second and fourth moments of returns and their temporal aggregates are derived under GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods are based on the exact second and fourth moments and the other adopts a Monte Carlo approach. Some simulations show that the multiple period Value at Risk calculated from a tdistribution with the variance and the degrees of freedom chosen to match the second and fourth moments of the aggregate returns is close to the one obtained by Monte Carlo simulations. Using some market indices for illustration, the proposed Value at Risk estimation methods are found to be superior to some standard approaches such as RiskMetrics.

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http://hdl.handle.net/10453/14533