Estimating downside risk in stock returns under structural breaks

• Published in: International review of economics & finance Vol. 58; pp. 102 - 112
• Main Authors: Hood, Matthew, Malik, Farooq
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.11.2018
• Subjects: GARCH; Structural breaks; Volatility; Structural breaks; GARCH; G1; Volatility

We show with simulations that inducing structural breaks in the volatility of returns causes non-normality by significantly increasing kurtosis. We endogenously detect significant structural breaks in the volatility of US stock returns and incorporate this information to estimate Value-at-Risk (VaR)...