Estimation of Conditional Expected Shortfall Based on Copula Function and ARMA-GARCH Time Series Models with Generalized Error Distribution

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Alizadeh F.; Amini M.; Mohtashami borzadaran Gh.; Tabasi S.H.

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Journal Paper

Paper Information

Journal: JOURNAL OF STATISTICAL SCIENCES Year:2025 | Volume:19 | Issue:2 Page(s): 399-420

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Title

Estimation of Conditional Expected Shortfall Based on Copula Function and ARMA-GARCH Time Series Models with Generalized Error Distribution

Author(s)

Alizadeh F. | Amini M. | Mohtashami borzadaran Gh. | Tabasi S.H. | Issue Writer Certificate

Keywords

Systemic risk

CoVaR

CoES

Copula function

Abstract

Events in one financial institution can affect other institutions. For this reason, Systemic risk is of interest to risk analysts, and the most important methods of measuring it are the CoVaR and CoES. If there is a dependence between the returns of two financial institutions, Copula functions can be used to examine the structure of the dependence between them. Since return data are often are unstable over time, ARMA-GARCH time series models can be used to model variability. In this paper, CoVaR is evaluated for four Copula functions, and then CoES are estimated based on that in ARMA-GARCH models with GED distributions. Then, these two measures are calculated with the returns of Tejarat and Mellat banks.

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