IDEAS home Printed from
   My bibliography  Save this paper

Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview


  • Gonzalo GarcÃa-Donato, Pedro Gento and Juan Ortega, University of Castilla-La Mancha


It is well known that financial returns exhibit positive kurtosis and flat tails. The Student model has been proposed in the literature as most adequate in treatment of financial problems than the Normal model. One of those problems is measuring Risk in a given portfolio using the Value At Risk (VAR). We apply Empirical-Bayesian (EB) techniques to the Normal and Student models to obtain VAR. The resultings VAR are easy to calculate and that from Student model has a pretty interpretation in terms of kurtosis. Both VAR were applied to a conjunct of diary observations of returns in six international indexes during the last decade. The results shows that the Student model is better than the Normal, but also shows that exists characteristics other than kurtosis in the financial returns that affect the goodness of results.

Suggested Citation

  • Gonzalo GarcÃa-Donato, Pedro Gento and Juan Ortega, University of Castilla-La Mancha, 2001. "Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview," Computing in Economics and Finance 2001 271, Society for Computational Economics.
  • Handle: RePEc:sce:scecf1:271

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item


    VAR; Bayes; Empirical-Bayes; Kurtosis; Student; Normal;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • N2 - Economic History - - Financial Markets and Institutions


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf1:271. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.