Estimation of Value at Risk and Expected Shortfall for Financial Time Series Using a Hybrid GARCH Generalized Pareto Distribution Model

Hermansah Hermansah

Abstract


Abstract. This paper explains a method for estimating Value at Risk (VaR) and Expected Shortfall of heteroscedastic financial return time series. The method used is combination of GARCH models and Extreme Value Theory (EVT). The GARCH models used to estimate volatility and EVT for estimating the tail of distribution. The distribution used in EVT is Generalized Pareto Distribution (GPD). Furthermore, the method used is a method estimation of conditional VaR and conditional Expected Shortfall.


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References


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