The Improved Value-at-Risk for Heteroscedastic Processes and Their Coverage Probability

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-03-10 DOI:10.1155/2020/7638517

Khreshna Syuhada

引用次数: 10

Abstract

A risk measure commonly used in financial risk management, namely, Value-at-Risk (VaR), is studied. In particular, we find a VaR forecast for heteroscedastic processes such that its (conditional) coverage probability is close to the nominal. To do so, we pay attention to the effect of estimator variability such as asymptotic bias and mean square error. Numerical analysis is carried out to illustrate this calculation for the Autoregressive Conditional Heteroscedastic (ARCH) model, an observable volatility type model. In comparison, we find VaR for the latent volatility model i.e., the Stochastic Volatility Autoregressive (SVAR) model. It is found that the effect of estimator variability is significant to obtain VaR forecast with better coverage. In addition, we may only be able to assess unconditional coverage probability for VaR forecast of the SVAR model. This is due to the fact that the volatility process of the model is unobservable.

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异方差过程的改进风险值及其覆盖概率

研究了金融风险管理中常用的风险度量，即风险价值(VaR)。特别地，我们发现异方差过程的VaR预测使得它的(条件)覆盖概率接近于标称。为了做到这一点，我们注意到估计量可变性的影响，如渐近偏差和均方误差。数值分析说明了自回归条件异方差(ARCH)模型的计算，ARCH是一种可观测的波动型模型。相比之下，我们找到了潜在波动率模型的VaR，即随机波动率自回归(SVAR)模型。研究发现，估计量变率对VaR预测的影响是显著的。此外，我们可能只能评估SVAR模型的VaR预测的无条件覆盖概率。这是由于模型的波动过程是不可观测的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.