A Generalized SSAR Model and Predictive Distribution with an Application to VaR
AbstractThe asymmetrical movements between the downward and upward phases of the sample paths of time series have been sometimes observed. By generalizing the SSAR (simultaneous switching autoregressive) models, we introduce a class of nonlinear time series models having the asymmetrical sample paths in the upward and downward phases. We show that the class of generalized SSAR models is useful for estimating the asymmetrical predictive distribution given the present and past information. Applications to the prediction based on the predictive median and the estimation of the VaR (value at risk) in financial risk management are discussed.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-122.
Length: 22 pages
Date of creation: Jul 2001
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-07-23 (All new papers)
- NEP-ECM-2001-07-23 (Econometrics)
- NEP-ENE-2001-07-23 (Energy Economics)
- NEP-ETS-2001-07-23 (Econometric Time Series)
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- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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