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Multi-period Conditional Distribution Functions for Heteroscedastic Models with Applications to VaR

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Dominique Guégan, Raymond Brummelhuis

Let (rt)t be a general GARCH(1G 1)-type process. We give explicit integral formula's for the probability densities of rt+k conditional to given values of rt,stG, where the latter denotes the variance. As an application, we study the extreme value asymptotics of rt+k and of rt+1 + ... + rt+k. These are relevant for the estimation of Value at Risk and other measures of .financial risk in the context of GARCH-models.

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Multi-period Conditional Distribution Functions for Heteroscedastic Models with Applications to VaR
  • Publié le 30/05/2001
  • 28 page(s)
  • EN
  • PDF (355.51 Ko)
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Synthèse non technique

  • Publié le 30/05/2017
  • 3 page(s)
  • FR
  • PDF (82.21 Ko)
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Mis à jour le : 19/03/2019 16:54