GARCH-like Models with Dynamic Crash Probabilities : A Parametric Approach for Modelling Extreme Events

Language: English

Published by VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K., 2008

3639014405 / 9783639014402

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Neuware - We work in the setting of time series of financial returns.Our starting point are the GARCH models, which are very common in practice.We introduce the possibility of having crashes in such GARCH models.A crash will be modeled by drawing innovations from a distribution with much mass on extremely negative events, while in normal times the innovations will be drawn from a normal distribution.The probability of a crash is modeled to be time dependent, depending on the past of the observed time series and/or exogenous variables. The aim is a splitting of risk into normal risk coming mainly from the GARCH dynamic and extreme event risk coming from the modeled crashes.For the ARCH case we formulate (quasi) maximum likelihood estimators and can derive conditions for consistency and asymptotic normality of the parameter estimates.On the practical side we look for the outcome of estimating models with genuine GARCH dynamic and compare the result toclassical GARCH models. We apply the models to Value at Risk estimation and see that in comparison to the classical modelsmany of ours seem to work better although we chose the crash distributions quite heuristically.…

Seller Inventory # 9783639014402

Title
GARCH-like Models with Dynamic Crash Probabilities : A Parametric Approach for Modelling Extreme Events
Author
Paul Koether
Publisher
VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K.
Publication year
2008
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3639014405
ISBN 13
9783639014402
Item weight
280 grams
Dimensions
220x150x11 mm

AHA-BUCH GmbH

Einbeck, Germany

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