Worldwide equity risk prediction
David Ardia & Lennart Hoogerheide
| Résumé |
Various GARCH models are applied to daily returns of more than 1200
constituents of major stock indices worldwide. The value-at-risk
forecast performance is investigated for different markets and
industries, considering the test for correct conditional coverage
using the false discovery rate (FDR) methodology. For most of the
markets and industries we find the same two conclusions. First, an
asymmetric GARCH specification is essential when forecasting the
95% value-at-risk. Second, for both the 95% and 99% value-at-risk
it is crucial that the innovations’ distribution is fat-tailed
(e.g., Student-t or – even better – a non-parametric kernel density
estimate). |
| Mots-clés |
GARCH, value-at-risk, equity, worldwide, false discovery rate |
| Citation | Ardia, D., & Hoogerheide, L. (2014). Worldwide equity risk prediction. Applied Economics Letters, 20(14), 1333-1339. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2014 |
| Nom du périodique | Applied Economics Letters |
| Volume | 20 |
| Numéro | 14 |
| Pages | 1333-1339 |
| URL | http://www.tandfonline.com/doi/pdf/10.1080/13504851.2013.... |