Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH

Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five distributiona...

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Bibliographic Details
Main Authors: Ravi Summinga-Sonagadu, Jason Narsoo
Format: Article
Language:English
Published: MDPI AG 2019-01-01
Series:Risks
Subjects:
model validation
high-frequency
Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH)
error distributions
intraday value-at-risk (VaR)
intraday expected shortfall (ES)
backtests
Online Access:https://www.mdpi.com/2227-9091/7/1/10

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