High volatility, thick tails and extreme value theory in value-at-risk estimation

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dc.citation.epage356en_US
dc.citation.issueNumber2en_US
dc.citation.spage337en_US
dc.citation.volumeNumber33en_US
dc.contributor.authorGençay, R.en_US
dc.contributor.authorSelçuk, F.en_US
dc.contributor.authorUlugülyaǧci, A.en_US
dc.date.accessioned2016-02-08T10:29:04Z
dc.date.available2016-02-08T10:29:04Z
dc.date.issued2003en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractIn this paper, the performance of the extreme value theory in value-at-risk calculations is compared to the performances of other well-known modeling techniques, such as GARCH, variance-covariance (Var-Cov) method and historical simulation in a volatile stock market. The models studied can be classified into two groups. The first group consists of GARCH(1, 1) and GARCH(1, 1)- t models which yield highly volatile quantile forecasts. The other group, consisting of historical simulation, Var-Cov approach, adaptive generalized Pareto distribution (GPD) and nonadaptive GPD models, leads to more stable quantile forecasts. The quantile forecasts of GARCH(1, 1) models are excessively volatile relative to the GPD quantile forecasts. This makes the GPD model be a robust quantile forecasting tool which is practical to implement and regulate for VaR measurements. © 2003 Elsevier B.V. All rights reserved.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:29:04Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2003en
dc.identifier.doi10.1016/j.insmatheco.2003.07.004en_US
dc.identifier.eissn1873-5959
dc.identifier.issn0167-6687
dc.identifier.urihttp://hdl.handle.net/11693/24416
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.insmatheco.2003.07.004en_US
dc.source.titleInsurance : Mathematics and Economicsen_US
dc.subjectExtreme value theoryen_US
dc.subjectFinancial risk managementen_US
dc.subjectValue-at-risken_US
dc.titleHigh volatility, thick tails and extreme value theory in value-at-risk estimationen_US
dc.typeArticleen_US

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