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Value at Risk with time-varying variance, skewness and kurtosis – The NIG-ACD model

Publiceringsår: 2009
Språk: Engelska
Sidor: 82-104
Publikation/Tidskrift/Serie: The Econometrics Journal
Volym: 12
Nummer: 1
Dokumenttyp: Artikel
Förlag: Wiley-Blackwell


A new model for financial returns with time varying variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously suggested NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor's 500 returns. All three models perform very well compared with extant models and clearly outperform a Gaussian GARCH model. Moreover, the results show that only the new model cannot be rejected as providing correct conditional VaR forecasts.



  • Business and Economics


  • ISSN: 1368-423X

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