Displaying 1 result from an estimated 1 matches for "hbxwdrrtmn7rvqwu".
2013 Apr 07
0
Fitting distributions to financial data using volatility model to estimate VaR
...:
http://www.google.de/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&ved=0CDUQFjAA&url=http%3A%2F%2Fzhiqiang.org%2Fblog%2Fdownload%2FRiskMetrics%2520-%2520Technical%2520Document.pdf&ei=RSJhUd7YJIbktQaQ-YCAAw&usg=AFQjCNGpCXUdLSVHQtYJMl7MccLGQtdkDw&sig2=HBxWDrRTMN7rVqWu-Yp1zQ&bvm=bv.44770516,d.Yms
Especially page 238 is interesting: "According to this model, returns
are generated as follows"
r_t=sigma_t xi_t
sigma^2_t is calculated by EWMA
xi is distributed according to the generalized error distribution. So
they do not assume the returns to fo...