Risk Measure Estimation On Fiegarch Processes
Risk Management
2013-05-23 v1 Applications
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 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 , and MaxLoss for a portfolio composed by stocks of four Brazilian companies.
Cite
@article{arxiv.1305.5238,
title = {Risk Measure Estimation On Fiegarch Processes},
author = {Taiane S. Prass and Sílvia R. C. Lopes},
journal= {arXiv preprint arXiv:1305.5238},
year = {2013}
}