DEPENDENCE BETWEEN VOLATILITY PERSISTENCE, KURTOSIS AND DEGREES OF FREEDOM (CROSBI ID 144641)
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Rozga, Ante ; Arnerić Josip
engleski
DEPENDENCE BETWEEN VOLATILITY PERSISTENCE, KURTOSIS AND DEGREES OF FREEDOM
In this paper the dependence between volatility persistence, kurtosis and degrees of freedom from Student’ s t-distribution will be presented in estimation alternative risk measures on simulated returns. As the most used measure of market risk is standard deviation of returns, i.e. volatility. However, based on volatility alternative risk measures can be estimated, for example Value-at-Risk (VaR). There are many methodologies for calculating VaR, but for simplicity they can be classified into parametric and nonparametric models. In category of parametric models the GARCH(p, q) model is used for modeling time-varying variance of returns.
Volatility persistence; kurtosis; alternative risk measures; degrees of freedom
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