ON CONDITIONAL MOMENTS OF GARCH MODELS, WITH APPLICATIONS TO MULTIPLE PERIOD VALUE AT RISK ESTIMATION

In this article, the exact conditional second, third and fourth moments of returns and their temporal aggregates are derived under Quadratic GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods are based on the exact second to fourth moments and the other ad...

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Veröffentlicht in:	Statistica Sinica 2003-10, Vol.13 (4), p.1015-1044
Hauptverfasser:	Wong, Chi-Ming, So, Mike K. P.
Format:	Artikel
Sprache:	eng
Schlagworte:	Analytical forecasting Estimation methods Estimators Kurtosis Mathematical moments Modeling Monte Carlo methods Skewed distribution Statistical Applications in Financial Econometrics Statistical variance T distribution
Online-Zugang:	Volltext
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