Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation
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...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2020-06-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Subjects: | |
| Online Access: | https://joer.atu.ac.ir/article_12076_386c25b97560bfc97c9de66c2ea5a8fa.pdf |
| _version_ | 1797375556297162752 |
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| author | Ghlamreza Keshavarz-Haddad Mohammad Amin Zabol |
| author_facet | Ghlamreza Keshavarz-Haddad Mohammad Amin Zabol |
| author_sort | Ghlamreza Keshavarz-Haddad |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T19:26:09Z |
| format | Article |
| id | doaj.art-05e629d4fd034e87be99dac984f458c5 |
| institution | Directory Open Access Journal |
| issn | 1735-210X 2476-6453 |
| language | fas |
| last_indexed | 2024-03-08T19:26:09Z |
| publishDate | 2020-06-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| spelling | doaj.art-05e629d4fd034e87be99dac984f458c52023-12-26T08:03:19ZfasAllameh Tabataba'i University PressFaslnāmah-i Pizhūhish/Nāmah-i Iqtisādī1735-210X2476-64532020-06-01207712810.22054/joer.2020.1207612076Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk OverestimationGhlamreza Keshavarz-Haddad0Mohammad Amin Zabol1Associate Professor, Department of Economics, Faculty of Management and Economics, Sharif University of Technology,Tehran, IranPh.D. Student in Economics, Semnan University,Semnan, Iran,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.https://joer.atu.ac.ir/article_12076_386c25b97560bfc97c9de66c2ea5a8fa.pdfvalue at riskextreme value theorysener loss functionback-testgold |
| spellingShingle | Ghlamreza Keshavarz-Haddad Mohammad Amin Zabol Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī value at risk extreme value theory sener loss function back-test gold |
| title | Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation |
| title_full | Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation |
| title_fullStr | Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation |
| title_full_unstemmed | Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation |
| title_short | Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation |
| title_sort | evaluation of the value at risk estimation methods with applying a penalty for risk overestimation |
| topic | value at risk extreme value theory sener loss function back-test gold |
| url | https://joer.atu.ac.ir/article_12076_386c25b97560bfc97c9de66c2ea5a8fa.pdf |
| work_keys_str_mv | AT ghlamrezakeshavarzhaddad evaluationofthevalueatriskestimationmethodswithapplyingapenaltyforriskoverestimation AT mohammadaminzabol evaluationofthevalueatriskestimationmethodswithapplyingapenaltyforriskoverestimation |