Estimation frequency of GARCH-type models: Impact on Value-at-Risk and Expected Shortfall forecasts?
David Ardia & Lennart Hoogerheide
| Résumé |
We analyze the impact of the estimation frequency - updating
parameter estimates on a daily, weekly, monthly or quarterly basis
- for commonly used GARCH models in a large-scale study, using more
than twelve years (2000-2012) of daily returns for constituents of
the S&P 500 index. We assess the implication for one-day ahead 95%
and 99% Value-at-Risk (VaR) forecasts with the test for correct
conditional coverage of Christoffersen (1998) and for Expected
Shortfall (ES) forecasts with the block-bootstrap test of ES
violations of Jalal and Rockinger (2008). Using the false discovery
rate methodology of Storey (2002) to estimate the percentage of
stocks for which the model yields correct VaR and ES forecasts, we
conclude that there is no difference in performance between
updating the parameter estimates of the GARCH equation at a daily
or weekly frequency, whereas monthly or even quarterly updates are
only marginally outperformed. |
| Mots-clés |
GARCH; Value-at-Risk; Expected Shortfall; Equity; Frequency; False discovery rate |
| Citation | Ardia, D., & Hoogerheide, L. (2014). Estimation frequency of GARCH-type models: Impact on Value-at-Risk and Expected Shortfall forecasts?. Economics Letters, 123, 187-190. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2014 |
| Nom du périodique | Economics Letters |
| Volume | 123 |
| Pages | 187-190 |
| URL | http://www.sciencedirect.com/science/article/pii/S0165176... |