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عنوان فارسی مقاله:
میانگین متحرک موزون نمایی امتیازمحور و پیش بینی ارزش در معرض خطر
عنوان انگلیسی مقاله:
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
3. Value-at-Risk and backtesting
We now evaluate the performance of the SD-EWMA scheme for forecasting Value-at-Risk (VaR). We define the VaR = −Yα at confidence level (1 − α) as Yα = sup Y ∗ P[Y < Y ∗ ] ≤ α . The value of Yα is highly dependent on the distributional assumptions for Y; see Chen and Lu (2010) for a recent survey. There is a trade-off between the fat-tailedness of the distribution of Y and the transition dynamics of the volatility updating mechanism. In the Student’s t based SD-EWMA framework, the volatility updates are less responsive to extreme realized returns than in the standard Gaussian EWMA scheme. This makes the computed VaR less responsive to abrupt volatility changes. In contrast, if there are incidental tail observations, the Student’s t based SD-EWMA scheme provides a much better and more robust estimate of the volatility at time t. Moreover, the fat-tailedness of the conditional Student’s t distribution pushes the VaR levels farther out into the tails than for the Gaussian distribution with a fixed confidence level (1 − α). The trade-off between all of these forces results in the relative performances of the different forecasting methods, which can be investigated only empirically across different confidence levels (1 − α) and different datasets.
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کلمات کلیدی:
Score Driven Exponentially Weighted Moving ... - IDEAS/RePEc https://ideas.repec.org/p/hhs/rbnkwp/0309.html by A Lucas - 2015 - Cited by 10 - Related articles Sep 1, 2015 - The new approach nests several of the earlier extensions to the exponentially weighted moving average (EWMA) scheme. In addition, it can ... Score-driven exponentially weighted moving ... - IDEAS/RePEc https://ideas.repec.org/a/eee/intfor/v32y2016i2p293-302.html by A Lucas - 2016 - Cited by 10 - Related articles The new approach nests several of the earlier extensions to the exponentially weighted moving average (EWMA) scheme. In addition, it can be extended easily ... Score-driven exponentially weighted moving ... - VU Research Portal https://research.vu.nl/.../score-driven-exponentially-weighted-moving-averages-and-v... We present a simple methodology for modeling the time variation in volatilities and other higher-order moments using a recursive updating scheme that is similar ... No. 77: Score Driven Exponentially Weighted Moving Average and ... www.dsf.nl/.../77-score-driven-exponentially-weighted-moving-average-value-risk-fo... 77: Score Driven Exponentially Weighted Moving Average and Value-at-Risk Forecasting. André Lucas and Xin Zhang. icon-globe. 50+. nationalities. icon- ... S-WoPEc: Score Driven Exponentially Weighted Moving Averages ... swopec.hhs.se/rbnkwp/abs/rbnkwp0309.htm Working Paper Series, Sveriges Riksbank (Central Bank of Sweden). No 309: Score Driven Exponentially Weighted Moving Averages and Value-at-Risk ... Score driven exponentially weighted moving averages and ... - EconBiz www.econbiz.de/Record/score-driven-exponentially-weighted.../10011332948 Score driven exponentially weighted moving averages and value-at-risk forecasting. André Lucas and Xin Zhang. A simple methodology is presented for ...
