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Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices

  • J. Baixauli

    ()

  • Susana Alvarez

    ()

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    The calculus of VaR involves dealing with the confidence level, the time horizon and the true underlying conditional distribution function of asset returns. In this paper, we shall examine the effects of using a specific distribution function that fits well the low-tail data of the observed distribution of asset returns on the accuracy of VaR estimates. In our analysis, we consider some distributional forms characterized by capturing the excess kurtosis characteristic of stock return distributions and we compare their performance using some international stock indices. Copyright Springer Science + Business Media, LLC 2006

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    File URL: http://hdl.handle.net/10.1007/s11156-006-8541-9
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    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 27 (2006)
    Issue (Month): 1 (August)
    Pages: 27-46

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    Handle: RePEc:kap:rqfnac:v:27:y:2006:i:1:p:27-46
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