Risk analysis
Rasool Roozegar; Samane Arkia
Abstract
Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In this study, a new flexible distribution for GARCH ...
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Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In this study, a new flexible distribution for GARCH models in predicting the value at risk is presented. Accurate modeling of financial returns requires proper innovation distribution.Findings: Experimental results show that the GJR-GARCH model, with its innovative TSLx distribution, generates realistic value index predictions, realistic normal distribution, t-student and generalized error distributions for all levels of confidence. The proposed distribution flexibility opens up an opportunity to increase the accuracy of financial return modeling in GARCH models.Originality/Value: We have used the TSLx-GARCH in data modeling and simulation and find both skewness and excess elongation in the financial return series and confidence levels for all levels.
Risk analysis
Rasool Roozegar; Bahaeddin Soufi; Hamid Reza Taherizadeh
Abstract
Value at risk and expected shortfall are the two most popular measures for calculating financial risk. To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric and non-parametric. In parametric approach it ...
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Value at risk and expected shortfall are the two most popular measures for calculating financial risk. To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric and non-parametric. In parametric approach it is supposed that the distribution of asset return belongs to a specific class of distributions. For some distributions we can claculate easily the mentioned measures. In this paper the the relation of epected shortfall has been proved for four symetric distribution.