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Worldwide equity risk prediction
Auteur(s)
Hoogerheide, Lennart
Date de parution
2014
In
Applied Economics Letters
Vol.
14
No
20
De la page
1333
A la page
1339
Revu par les pairs
1
Résumé
Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The value-at-risk forecast performance is investigated for different markets and industries, considering the test for correct conditional coverage using the false discovery rate (FDR) methodology. For most of the markets and industries we find the same two conclusions. First, an asymmetric GARCH specification is essential when forecasting the 95% value-at-risk. Second, for both the 95% and 99% value-at-risk it is crucial that the innovations’ distribution is fat-tailed (e.g., Student-t or – even better – a non-parametric kernel density estimate).
Identifiants
Type de publication
journal article
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