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Empirical likelihood intervals for conditional Value‐at‐Risk in ARCH/GARCH models

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  • Yun Gong
  • Zhouping Li
  • Liang Peng

Abstract

Value‐at‐Risk (VaR) is a simple, but useful measure in risk management. When some volatility model is employed, conditional VaR is of importance. As autoregressive conditional heteroscedastic (ARCH) and generalized ARCH (GARCH) models are widely used in modelling volatilities, in this article, we propose empirical likelihood methods to obtain an interval estimation for the conditional VaR with the volatility model being an ARCH/GARCH model.

Suggested Citation

  • Yun Gong & Zhouping Li & Liang Peng, 2010. "Empirical likelihood intervals for conditional Value‐at‐Risk in ARCH/GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 65-75, March.
    • Handle: RePEc:bla:jtsera:v:31:y:2010:i:2:p:65-75
    DOI: 10.1111/j.1467-9892.2009.00644.x
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    References listed on IDEAS

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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. 137(2), pages 556-576, April.
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    3. Peter Hall & Qiwei Yao, 2003. "Inference in Arch and Garch Models with Heavy--Tailed Errors," Econometrica, Econometric Society, vol. 71(1), pages 285-317, January.
    4. Hall, Peter & Yao, Qiwei, 2003. "Inference in ARCH and GARCH models with heavy-tailed errors," LSE Research Online Documents on Economics 5875, London School of Economics and Political Science, LSE Library.
    5. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
    6. Chan, Ngai Hang & Ling, Shiqing, 2006. "Empirical Likelihood For Garch Models," Econometric Theory, Cambridge University Press, vol. 22(3), pages 403-428, June.
    7. Berkes, István & Horváth, Lajos & Kokoszka, Piotr, 2003. "Asymptotics For Garch Squared Residual Correlations," Econometric Theory, Cambridge University Press, vol. 19(4), pages 515-540, August.
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    Cited by:

    1. Francq, Christian & Zakoïan, Jean-Michel, 2020. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
    2. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.

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