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Ardia, David
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Ardia, David
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Voici les éléments 1 - 6 sur 6
- PublicationAccès libreA Note on Jointly Backtesting Models for Multiple Assets and Horizons(2016-5)
; ;Guerrouaz, AnasHoogerheide, LennartWe propose a simulation-based methodology, which allows us to test the performance of multi-level and/or multi-horizon value-at-risk forecasts. - PublicationAccès libreWorldwide equity risk prediction(2014)
; Hoogerheide, LennartVarious 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). - PublicationMétadonnées seulementEstimation frequency of GARCH-type models: Impact on Value-at-Risk and Expected Shortfall forecasts?(2014)
; Hoogerheide, LennartWe 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. - PublicationAccès libreCross-sectional distribution of GARCH coefficients across S&P 500 constituents(2013)
; Hoogerheide, LennartWe investigate the time-variation of the cross-sectional distribution of asymmetric GARCH model parameters over the S&P 500 constituents for the period 2000-2012. We find the following results. First, the unconditional variances in the GARCH model obviously show major time-variation, with a high level after the dot-com bubble and the highest peak in the latest financial crisis. Second, in these more volatile periods it is especially the persistence of deviations of volatility from its unconditional mean that increases. Particularly in the latest financial crisis, the estimated models tend to Integrated GARCH models, which can cope with an abrupt regime-shift from low to high volatility levels. Third, the leverage effect tends to be somewhat higher in periods with higher volatility. Our findings are mostly robust across sectors, except for the technology sector, which exhibits a substantially higher volatility after the dot-com bubble. Further, the financial sector shows the highest volatility during the latest financial crisis. Finally, in an analysis of different market capitalizations, we find that small cap stocks have a higher volatility than large cap stocks where the discrepancy between small and large cap stocks increased during the latest financial crisis. Small cap stocks also have a larger conditional kurtosis and a higher leverage effect than mid cap and large cap stocks. - PublicationAccès libreDensity prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?(2012)
;Hoogerheide, Lennart; Corré, NienkeUsing GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy. - PublicationAccès libreBayesian estimation of the GARCH(1,1) model with Student-t innovations in R(2010)
; Hoogerheide, LennartThis paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling algorithm. The usage of the package is shown in an empirical application to exchange rate log-returns.