Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation

Keshavarz-Haddad, Ghlamreza; Zabol, Mohammad Amin

doi:10.22054/joer.2020.12076

Document Type : Research Paper

Authors

¹ Associate Professor, Department of Economics, Faculty of Management and Economics, Sharif University of Technology,Tehran, Iran

² Ph.D. Student in Economics, Semnan University,Semnan, Iran,

https://doi.org/10.22054/joer.2020.12076

Abstract

In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, PGARCH, FIGARCH and FIEGARCH Models. The two-stage Back-Testing method is used to evaluate the adequacy and accuracy of the calculation methods. Furthermore, we rank the accuracy of the estimation methods by a loss function. Our findings show that the most accurate method, In terms of the value of the loss function and among the applied econometrics methods, is VaR by t-student distribution for gold return and PGARCH for the long position and acceptable performance for the short position.

Keywords

References

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Economics Research

Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation

References

References

Volume 20, Issue 77
July 2020
Pages 1-28

Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation

References

References

Volume 20, Issue 77July 2020Pages 1-28

Volume 20, Issue 77
July 2020
Pages 1-28