GARCH-class models estimations and value-at-risk analysis for exchange rate. (27th June 2011)

• Record Type: Journal Article
• Authors: Mabrouk, Samir; Aloui, Chaker
• Is Part Of: International journal of monetary economics and finance. Volume 4:Number 3(2011)
• Page Start: 254
• Page End: 278
• Publication Date: 2011-06-27
• Subjects: value at risk -- VaR -- expected shortfall -- fat tail -- long memory -- exchange rates -- GARCH; Monetary policy -- Periodicals; Finance -- Periodicals; Economics -- Mathematical models -- Periodicals; 332.4
• Languages: English
• ISSNs: 1752-0479

Abstract

In this paper, we focus on three daily exchange rate returns dynamics. Indeed, we have assessed five GARCH-class models under three alternative distributions. Our findings confirm that the skewed Student-t FIAPARCH model performs very well. Then, we have computed short and long Value-at-Risk and Expected Shortfall based on AR (1) – FIAPARCH under normal, Student-t and skewed Student-t distributions. More precisely, we have investigated the estimation performance by computing both In-sample and Out-of-sample VaR for one-day-ahead horizon. Results reveal that VaR and ES estimations based on skewed Student-t FIAPARCH models outperform other models for both long and short trading positions.