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

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Author

Summary, in English

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.

Publishing year

2009

Language

English

Pages

82-104

Publication/Series

Econometrics Journal

Volume

12

Issue

1

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Keywords

  • Time varying skewness
  • Value at Risk
  • Time varying kurtosis
  • GARCH
  • Normal inverse Gaussian distribution

Status

Published

ISBN/ISSN/Other

  • ISSN: 1368-423X