Single-index and portfolio models for forecasting value-at-risk thresholds
نویسندگان
چکیده
منابع مشابه
Single Index and Portfolio Models for Forecasting Value-at-Risk Thresholds
The variance of a portfolio can be forecasted using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting Value-at-Risk (VaR) thresholds of a portfolio. The LR tests of unconditional coverage, independence and conditional coverag...
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In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the within sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly ...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2008
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.1054