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VaR Estimation via Transformed GARCH Models
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 Title & Authors
VaR Estimation via Transformed GARCH Models
Park, Ju-Yeon; Yeo, In-Kwon;
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In this paper, we investigate the approach to estimate VaR under the transformed GARCH model. The time series are transformed to approximate to the underlying distribution of error terms and then the parameters and the one-sided prediction interval are estimated with the transformed data. The back-transformation is applied to compute the VaR in the original data scale. The analyses on the asset returns of KOSPI and KOSDAQ are presented to verify the accuracy of the coverage probabilities of the proposed VaR.
Modulus transform;Yeo-Johnson transformation;skewness;kurtosis;coverage probability;
 Cited by
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