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A Corrected Value-at-Risk Predictor

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Author Info
Lönnbark, Carl () (Department of Economics, Umeå University)
Abstract

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

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File URL: http://www.econ.umu.se/ues/ues734.pdf
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Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 734.

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Length: 8 pages
Date of creation: 26 Mar 2008
Date of revision:
Handle: RePEc:hhs:umnees:0734

Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Email:
Web page: http://www.econ.umu.se/
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Related research
Keywords: Estimation Error Finance Garch Prediction Risk Management

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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  1. Hang Chan, Ngai & Deng, Shi-Jie & Peng, Liang & Xia, Zhendong, 2007. "Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations," Journal of Econometrics, Elsevier, vol. 127(2), pages 556-576, April. [Downloadable!] (restricted)
  2. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December. [Downloadable!] (restricted)
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This page was last updated on 2008-7-23.

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