Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.
Résumé
For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme quantile estimation. The results are relevant for the estimation of multi-period Value at Risk and prove that the heuristic “square k” rule used in financial risk management is false in the context of GARCH processes.
| Origine | Fichiers produits par l'(les) auteur(s) |
|---|
Loading...