GARCH Model with Conditional Return Distribution of Unbounded Johnson

Title & Authors
GARCH Model with Conditional Return Distribution of Unbounded Johnson
Jung, Seung-Hyun; Oh, Jung-Jun; Kim, Sung-Gon;

Abstract
Financial data such as stock index returns and exchange rates have the properties of heavy tail and asymmetry compared to normal distribution. When we estimate VaR using the GARCH model (with the conditional return distribution of normal) it shows the tendency of the lower estimation and clustering in the losses over the estimated VaR. In this paper, we argue that this problem can be resolved through the adaptation of the unbounded Johnson distribution as that of the condition return. We also compare this model with the GARCH with the conditional return distribution of normal and student-t. Using the losses exceed the ex-ante VaR, estimates, we check the validity of the GARCH models through the failure proportion test and the clustering test. We nd that the GARCH model with conditional return distribution of unbounded Johnson provides an appropriate estimation of the VaR and does not occur the clustering of violations.
Keywords
Clustering test;failure proportion test;GARCH model;Johnson Distribution;Value at Risk;
Language
Korean
Cited by
1.
장기기억 변동성 모형을 이용한 KOSPI 수익률의 Value-at-Risk의 추정,오정준;김성곤;

응용통계연구, 2013. vol.26. 1, pp.163-185
1.
Value-at-Risk Estimation of the KOSPI Returns by Employing Long-Memory Volatility Models, Korean Journal of Applied Statistics, 2013, 26, 1, 163
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