Single-index and portfolio models for forecasting value-at-risk thresholds
The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting value‐at‐risk (VaR) threshol...
Saved in:
| Published in | Journal of forecasting Vol. 27; no. 3; pp. 217 - 235 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Chichester, UK
John Wiley & Sons, Ltd
01.04.2008
Wiley Periodicals Inc |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0277-6693 1099-131X |
| DOI | 10.1002/for.1054 |
Cover
| Abstract | The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting value‐at‐risk (VaR) thresholds of a portfolio. Likelihood ratio tests of unconditional coverage, independence and conditional coverage of the VaR forecasts suggest that the single‐index model leads to excessive and often serially dependent violations, while the portfolio model leads to too few violations. The single‐index model also leads to lower daily Basel Accord capital charges. The univariate models which display correct conditional coverage lead to higher capital charges than models which lead to too many violations. Overall, the Basel Accord penalties appear to be too lenient and favour models which have too many violations. Copyright © 2008 John Wiley & Sons, Ltd. |
|---|---|
| AbstractList | The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting value-at-risk (VaR) thresholds of a portfolio. Likelihood ratio tests of unconditional coverage, independence and conditional coverage of the VaR forecasts suggest that the single-index model leads to excessive and often serially dependent violations, while the portfolio models leads to too few violations. The single-index model also leads to lower daily Basel Accord capital charges. The univariate models which display correct conditional coverage lead to higher capital charges than models which lead to too many violations. Overall, the Basel Accord penalties appear to be too lenient and favour models which have too many violations. Copyright John Wiley & Sons. Reproduced with permission. An electronic version of this article is available online at http://www.interscience.wiley.com The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting value-at-risk (VaR) thresholds of a portfolio. Likelihood ratio tests of unconditional coverage, independence and conditional coverage of the VaR forecasts suggest that the single-index model leads to excessive and often serially dependent violations, while the portfolio model leads to too few violations. The single-index model also leads to lower daily Basel Accord capital charges. The univariate models which display correct conditional coverage lead to higher capital charges than models which lead to too many violations. Overall, the Basel Accord penalties appear to be too lenient and favour models which have too many violations. [PUBLICATION ABSTRACT] The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting value‐at‐risk (VaR) thresholds of a portfolio. Likelihood ratio tests of unconditional coverage, independence and conditional coverage of the VaR forecasts suggest that the single‐index model leads to excessive and often serially dependent violations, while the portfolio model leads to too few violations. The single‐index model also leads to lower daily Basel Accord capital charges. The univariate models which display correct conditional coverage lead to higher capital charges than models which lead to too many violations. Overall, the Basel Accord penalties appear to be too lenient and favour models which have too many violations. Copyright © 2008 John Wiley & Sons, Ltd. |
| Author | McAleer, Michael da Veiga, Bernardo |
| Author_xml | – sequence: 1 givenname: Michael surname: McAleer fullname: McAleer, Michael email: michael.mcaleer@gmail.com organization: School of Economics and Commerce, University of Western Australia – sequence: 2 givenname: Bernardo surname: da Veiga fullname: da Veiga, Bernardo organization: School of Economics and Commerce, University of Western Australia |
| BookMark | eNp10N9LHDEQB_BQFHpqoX_C0ofSl-gk2d1sHov0TkVOUIt9C7lktkZzm2uS88d_7x5XBKV9GGYePjMM3z2yM8QBCfnM4JAB8KM-pnFo6g9kwkApygT7tUMmwKWkbavER7KX8x0AyI7xCTm78sPvgNQPDp8qM7hqFVPpY_CxWkaHIVfjxU2hNbmMuHowYY3UFJp8vq_KbcJ8G4PLB2S3NyHjp799n_yc_rg-PqHnF7PT4-_n1NZc1HQBDVv0DrlQsmGttYIL0YLokDdge8YA0bkOBLSWq9otWN3LnrWdaFqFDsU--bq9u0rxzxpz0UufLYZgBozrrIUE1knVjPDLO3gX12kYf9OcKQ7QsXpEh1tkU8w5Ya-tL6b4OJRkfNAM9CZXPSagN7mOC9_eLaySX5r0_C9Kt_TRB3z-r9PTi8u33ueCT6_epHvdSiEbfTOfaSm7-UzNpb4RL8e-lzQ |
| CODEN | JOFODV |
| CitedBy_id | crossref_primary_10_1093_jjfinec_nbx019 crossref_primary_10_1080_07350015_2021_1896527 crossref_primary_10_2139_ssrn_1361807 crossref_primary_10_1108_JES_06_2012_0082 crossref_primary_10_2139_ssrn_1468524 crossref_primary_10_1002_for_1167 crossref_primary_10_1142_S2010495221010028 crossref_primary_10_1080_00036846_2019_1644442 crossref_primary_10_2139_ssrn_1688385 crossref_primary_10_1002_for_1237 crossref_primary_10_1016_j_frl_2021_102134 crossref_primary_10_2139_ssrn_1349844 crossref_primary_10_1016_j_najef_2012_06_012 crossref_primary_10_1016_j_sciaf_2022_e01442 crossref_primary_10_1002_jae_2650 crossref_primary_10_1016_j_ijforecast_2012_05_005 crossref_primary_10_1111_j_1467_6419_2009_00588_x crossref_primary_10_1002_ijfe_2043 crossref_primary_10_2139_ssrn_1354686 crossref_primary_10_2139_ssrn_2692118 crossref_primary_10_1002_for_3154 crossref_primary_10_1093_jjfinec_nbs015 crossref_primary_10_1016_j_ijforecast_2015_08_003 crossref_primary_10_1111_j_1467_629X_2011_00422_x crossref_primary_10_2139_ssrn_1473191 crossref_primary_10_1016_j_ijforecast_2018_05_004 crossref_primary_10_1016_j_matcom_2013_08_010 crossref_primary_10_1007_s00180_016_0646_6 crossref_primary_10_2139_ssrn_1504651 crossref_primary_10_1371_journal_pone_0303962 crossref_primary_10_2139_ssrn_1355108 crossref_primary_10_1016_j_matcom_2012_06_013 crossref_primary_10_1080_07474938_2010_481972 crossref_primary_10_2139_ssrn_2711203 crossref_primary_10_1016_j_jmva_2012_07_012 crossref_primary_10_2139_ssrn_2918413 crossref_primary_10_2139_ssrn_1442034 crossref_primary_10_2139_ssrn_1741565 crossref_primary_10_2139_ssrn_1815603 crossref_primary_10_1145_3690646 crossref_primary_10_1016_j_jempfin_2020_07_001 crossref_primary_10_1142_S2010495214400016 crossref_primary_10_1016_j_ijforecast_2021_06_005 crossref_primary_10_1016_j_ijforecast_2011_12_004 crossref_primary_10_1080_1351847X_2015_1106959 crossref_primary_10_1016_j_matcom_2010_06_016 crossref_primary_10_1016_j_qref_2011_07_002 crossref_primary_10_2139_ssrn_3203049 crossref_primary_10_1515_jtse_2023_0039 crossref_primary_10_1111_j_1467_6419_2009_00590_x crossref_primary_10_1016_j_tourman_2009_09_002 crossref_primary_10_1016_j_ribaf_2018_12_009 crossref_primary_10_1080_0013791X_2022_2078023 crossref_primary_10_2139_ssrn_1535182 crossref_primary_10_2139_ssrn_2871444 crossref_primary_10_1007_s11009_013_9389_9 crossref_primary_10_1016_j_iref_2012_09_006 crossref_primary_10_2139_ssrn_1924237 crossref_primary_10_5351_KJAS_2015_28_3_541 crossref_primary_10_1214_20_EJS1782 crossref_primary_10_1515_snde_2012_0065 crossref_primary_10_2139_ssrn_1356803 crossref_primary_10_1002_for_1269 crossref_primary_10_2139_ssrn_1397239 crossref_primary_10_1108_03074351111167956 crossref_primary_10_2139_ssrn_1765202 crossref_primary_10_1016_j_jclepro_2023_139933 crossref_primary_10_1016_j_najef_2013_02_004 crossref_primary_10_3390_econometrics2020098 crossref_primary_10_1016_j_ijforecast_2021_11_010 |
| Cites_doi | 10.2307/2938189 10.1111/1467-6419.00169 10.1080/07474930600712913 10.1016/0304-4076(86)90063-1 10.1111/j.1467-6419.1993.tb00158.x 10.1093/rfs/3.1.77 10.1016/j.jeconom.2006.10.014 10.1017/S0266466698141038 10.2307/2109358 10.1016/S0764-4442(00)01593-7 10.1016/S0304-4076(01)00090-2 10.3905/jod.1998.408000 10.2307/2938260 10.1002/for.1049 10.1080/07474930600713564 10.1016/0304-4076(90)90101-X 10.1016/0927-5398(93)90006-D 10.1017/S0266466602183071 10.1017/S0266466603192092 10.2307/2527341 10.1017/S0266466605050140 10.1016/0304-405X(77)90041-1 10.2307/2648877 10.2307/1912773 10.17578/1-2-3 |
| ContentType | Journal Article |
| Copyright | Copyright © 2008 John Wiley & Sons, Ltd. Copyright Wiley Periodicals Inc. Apr 2008 |
| Copyright_xml | – notice: Copyright © 2008 John Wiley & Sons, Ltd. – notice: Copyright Wiley Periodicals Inc. Apr 2008 |
| DBID | BSCLL AAYXX CITATION 8BJ FQK JBE |
| DOI | 10.1002/for.1054 |
| DatabaseName | Istex CrossRef International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences International Bibliography of the Social Sciences |
| DatabaseTitle | CrossRef International Bibliography of the Social Sciences (IBSS) |
| DatabaseTitleList | International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences (IBSS) CrossRef |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Economics Social Sciences (General) Business |
| EISSN | 1099-131X |
| EndPage | 235 |
| ExternalDocumentID | 1461669561 10_1002_for_1054 FOR1054 ark_67375_WNG_778NG9N7_W |
| Genre | article Feature |
| GroupedDBID | -~X .3N .GA .L6 .Y3 05W 0R~ 10A 1L6 1OB 1OC 1XV 29K 3-9 31~ 33P 3WU 4.4 4ZD 50Y 50Z 51W 51Y 52M 52O 52Q 52S 52T 52U 52W 5GY 5VS 66C 702 7PT 7WY 8-0 8-1 8-3 8-4 8-5 8FL 8FW 8R4 8R5 8UM 8VB 930 9M8 A04 AABNI AAESR AAHQN AAMMB AAMNL AANHP AAONW AAOUF AASGY AAXRX AAYCA AAZKR ABBNM ABCQN ABCUV ABEML ABIJN ABJNI ABLJU ABPVW ABSOO ABUWG ACAHQ ACBKW ACBWZ ACCZN ACGFO ACGFS ACHQT ACPOU ACRPL ACSCC ACXQS ACYXJ ADBBV ADEMA ADEOM ADIZJ ADKYN ADMGS ADMHG ADNMO ADXAS ADXHL ADZMN AEFGJ AEGXH AEIGN AEIMD AETEA AEUYR AEYWJ AFBPY AFFNX AFFPM AFGKR AFKFF AFKRA AFWVQ AFZJQ AGHNM AGQPQ AGXDD AHBTC AHQJS AIAGR AIDQK AIDYY AIURR AKVCP ALAGY ALMA_UNASSIGNED_HOLDINGS ALUQN ALVPJ AMBMR AMVHM AMYDB ASPBG ASTYK AVWKF AZBYB AZFZN AZVAB BAFTC BDRZF BENPR BEZIV BFHJK BKOMP BMXJE BNVMJ BPHCQ BQESF BROTX BRXPI BSCLL BY8 CCPQU CS3 D-C D-D D-I DCZOG DJZPD DPXWK DR2 DRFUL DRSSH DU5 DWQXO EBO EBS EBU EJD F00 F01 F5P FEDTE FRNLG G-S G.N G50 GNP GODZA GROUPED_ABI_INFORM_ARCHIVE GROUPED_ABI_INFORM_RESEARCH HBH HF~ HGLYW HHY HVGLF HZ~ IX1 J0M JPC K1G K60 K6~ KQQ LATKE LAW LC2 LC4 LEEKS LH4 LITHE LOXES LP6 LP7 LPU LUTES LW6 LYRES M0C M55 MEWTI MK4 MRFUL MRSSH MSFUL MSSSH MXFUL MXSSH N04 N06 N9A NF~ NNB O66 O9- OIG P2P P2W P2Y P4C PALCI PHGZM PHGZT PQBIZ PQBZA PQQKQ PROAC PUEGO Q.N Q11 Q2X QB0 QRW QWB R.K RIWAO RJQFR ROL RX1 RYL SAMSI SUPJJ TH9 TN5 U5U UB1 UHB V2E V8K W8V W99 WBKPD WEBCB WH7 WIB WIH WII WOHZO WQZ WSUWO WXSBR XG1 XPP XSW XV2 ZCG ZL0 ZY4 ZZTAW ~IA ~WP 3V. AAHHS AAYOK ABTAH ACCFJ AEEZP AEQDE AEUQT AFPWT AFYRF AIFKG AIWBW AJBDE GROUPED_ABI_INFORM_COMPLETE RWI VQA WRC WWB AAYXX AGCSZ CITATION 8BJ FQK JBE |
| ID | FETCH-LOGICAL-c4234-b051bfde2397516cc32336038e250cf110eedd80306c294db14f7f1683569ede3 |
| IEDL.DBID | DR2 |
| ISSN | 0277-6693 |
| IngestDate | Thu Aug 07 14:44:50 EDT 2025 Sun Sep 07 05:20:19 EDT 2025 Tue Jul 01 01:02:35 EDT 2025 Thu Apr 24 22:51:52 EDT 2025 Wed Jan 22 16:30:24 EST 2025 Tue Sep 09 05:32:04 EDT 2025 |
| IsPeerReviewed | true |
| IsScholarly | true |
| Issue | 3 |
| Language | English |
| License | http://onlinelibrary.wiley.com/termsAndConditions#vor |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c4234-b051bfde2397516cc32336038e250cf110eedd80306c294db14f7f1683569ede3 |
| Notes | ark:/67375/WNG-778NG9N7-W ArticleID:FOR1054 istex:FB0F455E55ECDD166F8DE4DBFF67B213C15C63BD SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 14 ObjectType-Article-2 content type line 23 |
| PQID | 219200814 |
| PQPubID | 48359 |
| PageCount | 19 |
| ParticipantIDs | proquest_miscellaneous_37018795 proquest_journals_219200814 crossref_citationtrail_10_1002_for_1054 crossref_primary_10_1002_for_1054 wiley_primary_10_1002_for_1054_FOR1054 istex_primary_ark_67375_WNG_778NG9N7_W |
| ProviderPackageCode | CITATION AAYXX |
| PublicationCentury | 2000 |
| PublicationDate | April 2008 |
| PublicationDateYYYYMMDD | 2008-04-01 |
| PublicationDate_xml | – month: 04 year: 2008 text: April 2008 |
| PublicationDecade | 2000 |
| PublicationPlace | Chichester, UK |
| PublicationPlace_xml | – name: Chichester, UK – name: Chichester |
| PublicationTitle | Journal of forecasting |
| PublicationTitleAlternate | J. Forecast |
| PublicationYear | 2008 |
| Publisher | John Wiley & Sons, Ltd Wiley Periodicals Inc |
| Publisher_xml | – name: John Wiley & Sons, Ltd – name: Wiley Periodicals Inc |
| References | Basel Committee on Banking Supervision. 1988. International Convergence of Capital Measurement and Capital Standards. BIS: Basel, Switzerland. McAleer M, Da Veiga B. 2008. Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model. Journal of Forecasting 27: 1-19. Ding Z, Granger CWJ, Engle RF. 1993. A long memory property of stock market returns and a new model. Journal of Empirical Finance 1: 83-106. Schwert W. 1989. Stock volatility and crash of '87. Review of Financial Studies 3: 77-102. Engle RF, Ito T, Lin W. 1990. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 58: 525-542. Asai M, McAleer M, Yu J. 2006. Multivariate stochastic volatility: a review. Econometric Reviews 25: 145-175. Bollerslev T. 1990. Modelling the coherence in short-run nominal exchange rate: a multivariate generalized ARCH approach. Review of Economics and Statistics 72: 498-505. Kahya E. 1997. Correlation of returns in non-contemporaneous markets. Multinational Finance Journal 1: 123-135. Elie L, Jeantheau T. 1995. Consistency in heteroskedastic models. Comptes Rendus de l'Académie des Sciences, Série I 320: 1255-1258 (in French). Pagan AR. 1984. Econometric issues in the analysis of regressions with generated regressors. International Economic Review 2: 221-247. Oxley L, McAleer M. 1993. Econometric issues in macroeconomic models with generated regressors. Journal of Economic Surveys 7: 1-40. Christoffersen PF. 1998. Evaluating interval forecasts. International Economic Review 39: 841-862. Ling S, McAleer M. 2002a. Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models. Econometric Theory 18: 722-729. Pagan AR, Schwert W. 1990. Alternative models for conditional stock volatility. Journal of Econometrics 50: 267-290. Taylor S. 1986. Modelling Financial Time Series. Wiley: New York. Glosten LR, Jagannathan R, Runkle DE. 1992. On the relation between the expected value and volatility of the nominal excess return on stocks. Journal of Finance 46: 1779-1801. Basel Committee on Banking Supervision. 1996. Supervisory Framework for the Use of 'Backtesting' in Conjunction with the Internal Model-Based Approach to Market Risk Capital Requirements. BIS: Basel, Switzerland. Jorion P. 2000. Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill: New York. Franses PH, van Dijk D. 1999. Nonlinear Time Series Models in Empirical Finance. Cambridge University Press: Cambridge, UK. McAleer M. 2005. Automated inference and learning in modeling financial volatility. Econometric Theory 21: 232-261. Nelson D. 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59: 347-370. Burns P, Engle R, Mezrich J. 1998. Correlations and volatilities of asynchronous data. Journal of Derivatives 5: 7-18. Asai M, McAleer M. 2006. Asymmetric multivariate stochastic volatility. Econometric Reviews 25: 453-473. Li WK, Ling S, McAleer M. 2002. Recent theoretical results for time series models with GARCH errors. Journal of Economic Surveys 16: 245-269. Reprinted in McAleer M, Oxley L (eds). 2002. Contributions to Financial Econometrics: Theoretical and Practical Issues. Blackwell: Oxford; 9-33. Ling S, McAleer M. 2003. Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory 19: 278-308. Bollerslev T. 1986. Generalised autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327. Scholes M, Williams J. 1977. Estimating betas from nonsynchronous data. Journal of Financial Economics 5: 309-327. Jeantheau T. 1998. Strong consistency of estimators for multivariate ARCH models. Econometric Theory 14: 70-86. Ling S, McAleer M. 2002b. Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics 106: 109-117. RiskmetricsTM. 1996. J. P. Morgan Technical Document (4th edn). J. P. Morgan: New York. Boussama F. 2000. Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model. Comptes Rendus de l'Académie des Sciences, Série I 331: 81-84 (in French). Basel Committee on Banking Supervision. 1995. An Internal Model-Based Approach to Market Risk Capital Requirements. BIS: Basel, Switzerland. Engle RF. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50: 987-1007. McAleer M, Chan F, Marinova D. 2007. An econometric analysis of asymmetric volatility: theory and application to patents. Invited paper presented to the Australasian Meeting of the Econometric Society, Brisbane, July 2002. Journal of Econometrics 139: 259-284. Lopez JA. 1998. Methods for evaluating value-at-risk estimates. Federal Reserve Bank of New York Economic Policy Review 119-124. 2002; 16 1993; 7 1989; 3 1990; 58 1991; 59 2002a; 18 1986; 31 1982; 50 1998 1996 1995 2005; 21 1997; 1 1994 2000; 331 2002b; 106 2003; 19 2002 1993; 1 1999 1998; 39 2007; 139 2000 1984; 2 2006; 25 2008; 27 1986 1992; 46 1995; 320 1998; 5 1998; 14 1977; 5 1988 1990; 72 1990; 50 Oxley L (e_1_2_1_32_1) 1994 RiskmetricsTM (e_1_2_1_35_1) 1996 Lopez JA. (e_1_2_1_26_1) 1998 Taylor S. (e_1_2_1_38_1) 1986 Franses PH (e_1_2_1_16_1) 1999 e_1_2_1_23_1 e_1_2_1_24_1 Jorion P. (e_1_2_1_20_1) 2000 e_1_2_1_22_1 Basel Committee on Banking Supervision (e_1_2_1_5_1) 1995 e_1_2_1_27_1 e_1_2_1_28_1 e_1_2_1_25_1 Glosten LR (e_1_2_1_17_1) 1992; 46 e_1_2_1_29_1 Basel Committee on Banking Supervision (e_1_2_1_6_1) 1996 e_1_2_1_7_1 e_1_2_1_31_1 Basel Committee on Banking Supervision (e_1_2_1_4_1) 1988 e_1_2_1_8_1 e_1_2_1_30_1 e_1_2_1_3_1 e_1_2_1_12_1 e_1_2_1_34_1 e_1_2_1_10_1 e_1_2_1_33_1 e_1_2_1_2_1 e_1_2_1_11_1 Elie L (e_1_2_1_13_1) 1995; 320 Kahya E. (e_1_2_1_21_1) 1997; 1 e_1_2_1_14_1 e_1_2_1_37_1 e_1_2_1_15_1 e_1_2_1_36_1 e_1_2_1_9_1 e_1_2_1_18_1 e_1_2_1_19_1 |
| References_xml | – reference: RiskmetricsTM. 1996. J. P. Morgan Technical Document (4th edn). J. P. Morgan: New York. – reference: Engle RF, Ito T, Lin W. 1990. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 58: 525-542. – reference: Elie L, Jeantheau T. 1995. Consistency in heteroskedastic models. Comptes Rendus de l'Académie des Sciences, Série I 320: 1255-1258 (in French). – reference: Engle RF. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50: 987-1007. – reference: Boussama F. 2000. Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model. Comptes Rendus de l'Académie des Sciences, Série I 331: 81-84 (in French). – reference: Li WK, Ling S, McAleer M. 2002. Recent theoretical results for time series models with GARCH errors. Journal of Economic Surveys 16: 245-269. Reprinted in McAleer M, Oxley L (eds). 2002. Contributions to Financial Econometrics: Theoretical and Practical Issues. Blackwell: Oxford; 9-33. – reference: Asai M, McAleer M, Yu J. 2006. Multivariate stochastic volatility: a review. Econometric Reviews 25: 145-175. – reference: Bollerslev T. 1986. Generalised autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327. – reference: Basel Committee on Banking Supervision. 1988. International Convergence of Capital Measurement and Capital Standards. BIS: Basel, Switzerland. – reference: McAleer M. 2005. Automated inference and learning in modeling financial volatility. Econometric Theory 21: 232-261. – reference: Taylor S. 1986. Modelling Financial Time Series. Wiley: New York. – reference: Scholes M, Williams J. 1977. Estimating betas from nonsynchronous data. Journal of Financial Economics 5: 309-327. – reference: Ling S, McAleer M. 2002a. Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models. Econometric Theory 18: 722-729. – reference: Oxley L, McAleer M. 1993. Econometric issues in macroeconomic models with generated regressors. Journal of Economic Surveys 7: 1-40. – reference: Jorion P. 2000. Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill: New York. – reference: Jeantheau T. 1998. Strong consistency of estimators for multivariate ARCH models. Econometric Theory 14: 70-86. – reference: Ling S, McAleer M. 2003. Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory 19: 278-308. – reference: Asai M, McAleer M. 2006. Asymmetric multivariate stochastic volatility. Econometric Reviews 25: 453-473. – reference: Basel Committee on Banking Supervision. 1995. An Internal Model-Based Approach to Market Risk Capital Requirements. BIS: Basel, Switzerland. – reference: Lopez JA. 1998. Methods for evaluating value-at-risk estimates. Federal Reserve Bank of New York Economic Policy Review 119-124. – reference: Kahya E. 1997. Correlation of returns in non-contemporaneous markets. Multinational Finance Journal 1: 123-135. – reference: Ding Z, Granger CWJ, Engle RF. 1993. A long memory property of stock market returns and a new model. Journal of Empirical Finance 1: 83-106. – reference: McAleer M, Chan F, Marinova D. 2007. An econometric analysis of asymmetric volatility: theory and application to patents. Invited paper presented to the Australasian Meeting of the Econometric Society, Brisbane, July 2002. Journal of Econometrics 139: 259-284. – reference: Bollerslev T. 1990. Modelling the coherence in short-run nominal exchange rate: a multivariate generalized ARCH approach. Review of Economics and Statistics 72: 498-505. – reference: Christoffersen PF. 1998. Evaluating interval forecasts. International Economic Review 39: 841-862. – reference: Franses PH, van Dijk D. 1999. Nonlinear Time Series Models in Empirical Finance. Cambridge University Press: Cambridge, UK. – reference: Nelson D. 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59: 347-370. – reference: Ling S, McAleer M. 2002b. Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics 106: 109-117. – reference: Schwert W. 1989. Stock volatility and crash of '87. Review of Financial Studies 3: 77-102. – reference: Pagan AR. 1984. Econometric issues in the analysis of regressions with generated regressors. International Economic Review 2: 221-247. – reference: Burns P, Engle R, Mezrich J. 1998. Correlations and volatilities of asynchronous data. Journal of Derivatives 5: 7-18. – reference: Glosten LR, Jagannathan R, Runkle DE. 1992. On the relation between the expected value and volatility of the nominal excess return on stocks. Journal of Finance 46: 1779-1801. – reference: McAleer M, Da Veiga B. 2008. Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model. Journal of Forecasting 27: 1-19. – reference: Pagan AR, Schwert W. 1990. Alternative models for conditional stock volatility. Journal of Econometrics 50: 267-290. – reference: Basel Committee on Banking Supervision. 1996. Supervisory Framework for the Use of 'Backtesting' in Conjunction with the Internal Model-Based Approach to Market Risk Capital Requirements. BIS: Basel, Switzerland. – volume: 320 start-page: 1255 year: 1995 end-page: 1258 article-title: Consistency in heteroskedastic models publication-title: Comptes Rendus de l'Académie des Sciences – volume: 59 start-page: 347 year: 1991 end-page: 370 article-title: Conditional heteroskedasticity in asset returns: a new approach publication-title: Econometrica – volume: 19 start-page: 278 year: 2003 end-page: 308 article-title: Asymptotic theory for a vector ARMA‐GARCH model publication-title: Econometric Theory – volume: 1 start-page: 83 year: 1993 end-page: 106 article-title: A long memory property of stock market returns and a new model publication-title: Journal of Empirical Finance – volume: 21 start-page: 232 year: 2005 end-page: 261 article-title: Automated inference and learning in modeling financial volatility publication-title: Econometric Theory – volume: 25 start-page: 453 year: 2006 end-page: 473 article-title: Asymmetric multivariate stochastic volatility publication-title: Econometric Reviews – volume: 139 start-page: 259 year: 2007 end-page: 284 article-title: An econometric analysis of asymmetric volatility: theory and application to patents. Invited paper presented to the Australasian Meeting of the Econometric Society, Brisbane, July 2002 publication-title: Journal of Econometrics – year: 1996 – volume: 5 start-page: 7 year: 1998 end-page: 18 article-title: Correlations and volatilities of asynchronous data publication-title: Journal of Derivatives – year: 2000 – volume: 72 start-page: 498 year: 1990 end-page: 505 article-title: Modelling the coherence in short‐run nominal exchange rate: a multivariate generalized ARCH approach publication-title: Review of Economics and Statistics – volume: 39 start-page: 841 year: 1998 end-page: 862 article-title: Evaluating interval forecasts publication-title: International Economic Review – start-page: 299 year: 1994 end-page: 349 – volume: 1 start-page: 123 year: 1997 end-page: 135 article-title: Correlation of returns in non‐contemporaneous markets publication-title: Multinational Finance Journal – volume: 27 start-page: 1 year: 2008 end-page: 19 article-title: Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model publication-title: Journal of Forecasting – volume: 106 start-page: 109 year: 2002b end-page: 117 article-title: Stationarity and the existence of moments of a family of GARCH processes publication-title: Journal of Econometrics – year: 1986 – volume: 25 start-page: 145 year: 2006 end-page: 175 article-title: Multivariate stochastic volatility: a review publication-title: Econometric Reviews – volume: 16 start-page: 245 year: 2002 end-page: 269 article-title: Recent theoretical results for time series models with GARCH errors publication-title: Journal of Economic Surveys – volume: 46 start-page: 1779 year: 1992 end-page: 1801 article-title: On the relation between the expected value and volatility of the nominal excess return on stocks publication-title: Journal of Finance – volume: 31 start-page: 307 year: 1986 end-page: 327 article-title: Generalised autoregressive conditional heteroscedasticity publication-title: Journal of Econometrics – volume: 331 start-page: 81 year: 2000 end-page: 84 article-title: Asymptotic normality for the quasi‐maximum likelihood estimator of a GARCH model publication-title: Comptes Rendus de l'Académie des Sciences – start-page: 119 year: 1998 end-page: 124 article-title: Methods for evaluating value‐at‐risk estimates publication-title: Federal Reserve Bank of New York Economic Policy Review – year: 2002 – volume: 14 start-page: 70 year: 1998 end-page: 86 article-title: Strong consistency of estimators for multivariate ARCH models publication-title: Econometric Theory – year: 1988 – volume: 18 start-page: 722 year: 2002a end-page: 729 article-title: Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models publication-title: Econometric Theory – year: 1995 – volume: 3 start-page: 77 year: 1989 end-page: 102 article-title: Stock volatility and crash of '87 publication-title: Review of Financial Studies – volume: 58 start-page: 525 year: 1990 end-page: 542 article-title: Meteor showers or heat waves? Heteroskedastic intra‐daily volatility in the foreign exchange market publication-title: Econometrica – volume: 50 start-page: 987 year: 1982 end-page: 1007 article-title: Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation publication-title: Econometrica – volume: 5 start-page: 309 year: 1977 end-page: 327 article-title: Estimating betas from nonsynchronous data publication-title: Journal of Financial Economics – volume: 50 start-page: 267 year: 1990 end-page: 290 article-title: Alternative models for conditional stock volatility publication-title: Journal of Econometrics – volume: 7 start-page: 1 year: 1993 end-page: 40 article-title: Econometric issues in macroeconomic models with generated regressors publication-title: Journal of Economic Surveys – volume: 2 start-page: 221 year: 1984 end-page: 247 article-title: Econometric issues in the analysis of regressions with generated regressors publication-title: International Economic Review – year: 1999 – ident: e_1_2_1_15_1 doi: 10.2307/2938189 – ident: e_1_2_1_22_1 doi: 10.1111/1467-6419.00169 – volume-title: Value at Risk: The New Benchmark for Managing Financial Risk year: 2000 ident: e_1_2_1_20_1 – ident: e_1_2_1_2_1 doi: 10.1080/07474930600712913 – ident: e_1_2_1_7_1 doi: 10.1016/0304-4076(86)90063-1 – ident: e_1_2_1_31_1 doi: 10.1111/j.1467-6419.1993.tb00158.x – ident: e_1_2_1_37_1 doi: 10.1093/rfs/3.1.77 – ident: e_1_2_1_29_1 doi: 10.1016/j.jeconom.2006.10.014 – ident: e_1_2_1_19_1 doi: 10.1017/S0266466698141038 – ident: e_1_2_1_8_1 doi: 10.2307/2109358 – ident: e_1_2_1_9_1 doi: 10.1016/S0764-4442(00)01593-7 – ident: e_1_2_1_24_1 doi: 10.1016/S0304-4076(01)00090-2 – volume-title: An Internal Model‐Based Approach to Market Risk Capital Requirements year: 1995 ident: e_1_2_1_5_1 – volume: 320 start-page: 1255 year: 1995 ident: e_1_2_1_13_1 article-title: Consistency in heteroskedastic models publication-title: Comptes Rendus de l'Académie des Sciences – ident: e_1_2_1_10_1 doi: 10.3905/jod.1998.408000 – volume-title: International Convergence of Capital Measurement and Capital Standards year: 1988 ident: e_1_2_1_4_1 – ident: e_1_2_1_30_1 doi: 10.2307/2938260 – volume-title: Modelling Financial Time Series year: 1986 ident: e_1_2_1_38_1 – volume-title: Nonlinear Time Series Models in Empirical Finance year: 1999 ident: e_1_2_1_16_1 – ident: e_1_2_1_18_1 – start-page: 119 year: 1998 ident: e_1_2_1_26_1 article-title: Methods for evaluating value‐at‐risk estimates publication-title: Federal Reserve Bank of New York Economic Policy Review – ident: e_1_2_1_28_1 doi: 10.1002/for.1049 – ident: e_1_2_1_3_1 doi: 10.1080/07474930600713564 – ident: e_1_2_1_34_1 doi: 10.1016/0304-4076(90)90101-X – volume-title: Supervisory Framework for the Use of ‘Backtesting’ in Conjunction with the Internal Model‐Based Approach to Market Risk Capital Requirements year: 1996 ident: e_1_2_1_6_1 – volume-title: J. P. Morgan Technical Document year: 1996 ident: e_1_2_1_35_1 – ident: e_1_2_1_12_1 doi: 10.1016/0927-5398(93)90006-D – start-page: 299 volume-title: Surveys in Econometrics year: 1994 ident: e_1_2_1_32_1 – ident: e_1_2_1_23_1 doi: 10.1017/S0266466602183071 – ident: e_1_2_1_25_1 doi: 10.1017/S0266466603192092 – ident: e_1_2_1_11_1 doi: 10.2307/2527341 – ident: e_1_2_1_27_1 doi: 10.1017/S0266466605050140 – ident: e_1_2_1_36_1 doi: 10.1016/0304-405X(77)90041-1 – ident: e_1_2_1_33_1 doi: 10.2307/2648877 – ident: e_1_2_1_14_1 doi: 10.2307/1912773 – volume: 46 start-page: 1779 year: 1992 ident: e_1_2_1_17_1 article-title: On the relation between the expected value and volatility of the nominal excess return on stocks publication-title: Journal of Finance – volume: 1 start-page: 123 year: 1997 ident: e_1_2_1_21_1 article-title: Correlation of returns in non‐contemporaneous markets publication-title: Multinational Finance Journal doi: 10.17578/1-2-3 |
| SSID | ssj0007812 |
| Score | 2.029951 |
| Snippet | The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional... |
| SourceID | proquest crossref wiley istex |
| SourceType | Aggregation Database Enrichment Source Index Database Publisher |
| StartPage | 217 |
| SubjectTerms | Basel Accord penalties conditional correlations Financial engineering Forecasting Forecasting techniques Mathematical finance multivariate conditional volatility Penalties Portfolio performance Portfolio selection portfolio spillover Risk exposure Risk management single index Spillovers Studies Thresholds value-at-risk thresholds Violations Volatility |
| Title | Single-index and portfolio models for forecasting value-at-risk thresholds |
| URI | https://api.istex.fr/ark:/67375/WNG-778NG9N7-W/fulltext.pdf https://onlinelibrary.wiley.com/doi/abs/10.1002%2Ffor.1054 https://www.proquest.com/docview/219200814 https://www.proquest.com/docview/37018795 |
| Volume | 27 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV1ZS91AFB6KhepLbV3wqrUjFJeHXJNMMpM8lloVHy5SFQUfhtkC4iW3mFwQn_oT_I3-Es-ZJNcFheJDFshkmeXM-SbzzXcI-cEsYyzJo0ClBgYo2mSBVtYEETOhzUUeK-3ZFgN-cJocnqfnLasS18I0-hCTH25oGb6_RgNXutp5FA0FTIdBalEKNGIcZfN3_zwqR4nMT3T6GUrOc9bpzobxTnfjM0_0EQv15hnMfApWvbfZmyUX3Xc2JJOr_rjWfXP7QsLxfRn5Qj63IJT-bFrNV_LBlXPkU8eBnyPT3XJlOO81C3hp2wlUdKtVqt6eJ0fH4PiG7v7fnRddpKq0FPF8MRpejqgPslNReDFuzqgKKdYU5cXxFlXDDpnttIb2VOE0WLVATvd-n_w6CNoQDYEBHJYEGmxaF9bFAGvSiBvDYsZ4yDIH0MoUgC3AB9sMByYmzhOro6QQRcQB9_HcWccWyVQ5Kt0SoaIIwaHa3DkRJSJOtVaIBY3m0GEXPOmRza66pGn1yzGMxlA2ysuxhLxILMgeWZ-k_NtodrySZsPX-CSBur5CjptI5dlgXwqRDfbzgZBnPbLSNQnZmncloZtH3kgEj_k-uQp2iZMtqnSjcSWZCH0gd3iRr_w3v0TCaB-Py_-bcIXMNKQVpA-tkqn6euy-ATKq9Zq3gQcbFgw9 |
| linkProvider | Wiley-Blackwell |
| linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV3batVAFN3UFqwvXqrisWpHEC8PaZPMJJPgk6jtUWsQbWkfhGFuAekhR5ocEJ_8BL_RL3HvSXJqRUF8yAUySWYys2evyaxZG-ABd5xzUSaRziwOUIwtIqOdjRJuY1fKMtUmsC2qfHooXh9nxyvwdFwL0-tDLH-4kWWE_poMnH5I75yphiKooyi14gKsCcQZNPJ68f5MO0oWYaozzFHmeclH5dk43RnvPOeL1uizfjkHNH-Fq8Hf7F6Bj2NOe5rJyfaiM9v2628ijv9ZlKtwecCh7FnfcK7Bim824OJIg9-A9XHFMp5P-jW8bOgHWvZ4EKt-ch3efUDfN_M_vn0PuotMN44RpK_ns09zFuLstAxfTJu3uiWWNSOFcbpFd7gjcjvrsEm1NBPW3oDD3ZcHz6fREKUhsgjFRGTQrE3tfIrIJktya3nKeR7zwiO6sjXCC3TDrqCxiU1L4UwialknOUK_vPTO85uw2swbfwuYrGP0qa70XiZCppkxmuCgNTn22XUuJvBorC9lBwlziqQxU734cqqwLIo-5ATuL1N-7mU7_pDmYajyZQJ9ekI0N5mpo2pPSVlUe2Ul1dEENsc2oQYLbxX29EQdSfAxW8uraJo036IbP1-0iss4xHLHF4Xa_2tOFA746Xj7XxNuwfr04O2-2n9VvdmESz2HhdhEd2C1O134uwiUOnMvGMRP0gQQXA |
| linkToPdf | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV3batVAFN1oC9WXqlXxtGpHEC8PaZPMZCZ5FPW0XghFLS30YchcAtJDTmlyQHzyE_xGv8S9J8mpFQXxIRfI5DKXPXtNZs3aAI-545yLIomqzOIAxdg8MpWzUcJt7ApVpJUJbItS7h-Kt8fZ8cCqpLUwvT7E8ocbWUbor8nAz1y9eyEaipiOgtSKq7AqJAIJAkQfLqSjVB5mOsMUpZQFH4Vn43R3vPOSK1qlUv1yCWf-ilaDu5negJPxQ3uWyenOojM79utvGo7_l5ObsD6gUPaibza34IpvNmBtJMFvwLVxvTKeT_oVvGzoBVr2bJCqfn4bDj6i55v5H9--B9VFVjWOEaCv57PPcxai7LQMX0ybt1VLHGtG-uJ0S9XhjqjtrMMG1dI8WHsHDqevP73cj4YYDZFFICYig0ZtaudTxDVZIq3lKecy5rlHbGVrBBfohF1OIxObFsKZRNSqTiQCP1l45_ldWGnmjb8HTNUxelRXeK8SodLMmIrAoDUSe-xaigk8HatL20HAnOJozHQvvZxqzIumgpzAo2XKs1604w9pnoQaXyaozk-J5KYyfVTuaaXycq8olT6awNbYJPRg363Gfp6IIwk-Znt5FQ2TZluqxs8XreYqDpHc8UWh8v_6JRqH-3Tc_NeE27B28Gqq378p323B9Z7AQlSi-7DSnS_8A0RJnXkYzOEnn3MPCw |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Single%E2%80%90index+and+portfolio+models+for+forecasting+value%E2%80%90at%E2%80%90risk+thresholds&rft.jtitle=Journal+of+forecasting&rft.au=McAleer%2C+Michael&rft.au=da+Veiga%2C+Bernardo&rft.date=2008-04-01&rft.issn=0277-6693&rft.eissn=1099-131X&rft.volume=27&rft.issue=3&rft.spage=217&rft.epage=235&rft_id=info:doi/10.1002%2Ffor.1054&rft.externalDBID=n%2Fa&rft.externalDocID=10_1002_for_1054 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0277-6693&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0277-6693&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0277-6693&client=summon |