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arXiv · 1305.5238

Risk Measure Estimation On Fiegarch Processes

Taiane S. Prass·Sílvia R. C. Lopes
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Abstract

We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of the risk measure $VaR_p$ on FIEGARCH processes. We consider the distribution function of the portfolio log-returns (univariate case) and the multivariate distribution function of the risk-factor changes (multivariate case). We also compare the performance of the risk measures $VaR_p$, $ES_p$ and MaxLoss for a portfolio composed by stocks of four Brazilian companies.

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Taiane S. Prass, Sílvia R. C. Lopes. 2013-05-22. Risk Measure Estimation On Fiegarch Processes. https://arxiv.org/abs/1305.5238

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