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Dynamic Econometric Models

Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
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Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures

Authors

  • Joanna Górka Nicolaus Copernicus University in Toruń http://orcid.org/0000-0002-9959-5432

DOI:

https://doi.org/10.12775/DEM.2009.004

Keywords

Family of Sign RCA Models, risk measures, Value at Risk, Expected Shortfall

Abstract

Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES) measures. For models from the family of Sign RCA models and AR-GARCH model the one-step forecasts of VaR were calculated based on rolling estimates from the given model using different window sizes. To obtain the VaR and ES measures the filtered historical simulation was used in new version proposed by Christoffersen. The results were verified using backtesting and the loss function.

References

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Angelidis, T., Degiannakis, S. (2006), Backtesting VaR Models: An Expected Shortfall Approach, Working Paper Series, http://econpapers.repec.org/paper/crtwpaper/0701.htm (2.09.2009).

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Christoffersen, P. F. (2009), Value-at-Risk Models, in Andersen, T. G., Davis, R. A., Kreiss, J.-P., Mikosch, T. (ed.), Handbook of Financial Time Series, Springer Verlag. DOI: http://dx.doi.org/10.1007/978-3-540-71297-8_33

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Thavaneswaran, A., Appadoo, S. (2006), Properties of a New Family of Volatility Sing Models, Computers and Mathematics with Applications, 52, 809–818.

Thavaneswaran, A., Appadoo, S., Bector, C. (2006), Recent Developments in Volatility Modeling and Application, Journal of Applied Mathematics and Decision Sciences, 1–23.

Thavaneswaran, A., Peiris, S., Appadoo, S. (2008), Random Coefficient Volatility Models, Statistics & Probability Letters, 78, 582–593. DOI: http://dx.doi.org/10.1016/j.spl.2007.09.019

Thavaneswaran, S., Appadoo, S., i Ghahramani, M. (2009), RCA models with GARCH innovations, Applied Mathematics Letters, 22, 110–114.

Yamai, Y., Yoshiba, T. (2002), Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition and Optimization, Monetary and Economic Studies, 20(1), 87–121.

Dynamic Econometric Models

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Published

2009-07-18

How to Cite

1.
GÓRKA, Joanna. Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures. Dynamic Econometric Models. Online. 18 July 2009. Vol. 9, pp. 39-50. [Accessed 1 July 2025]. DOI 10.12775/DEM.2009.004.
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Vol. 9 (2009)

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The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).

To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the License Agreement with Nicolaus Copernicus University.

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