Out of sample value-at-risk and backtesting with the standardized pearson type-IV skewed distribution
This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution. The performance of the model is examined by in sample and out of sample testing, and the accuracy...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2013-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2013/1452-595X1302231S.pdf |