COMPARATIVE BETWEEN SV (STOCHASTIC VOLATILITY) & GARCH MODELS BY VAR

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SAJJAD R.; HEDAYATI SH.; HEDAYATI SH.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:15 Page(s): 79-97

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Title

COMPARATIVE BETWEEN SV (STOCHASTIC VOLATILITY) & GARCH MODELS BY VAR

Author(s)

SAJJAD R. | HEDAYATI SH. | HEDAYATI SH. | Issue Writer Certificate

Keywords

STOCHASTIC VOLATILITYQ2

ML ESTIMATIONQ2

IMPORTANCE SAMPLINGQ2

KALMAN FILTER. VALUE AT RISQ1

Abstract

In many time series, especially in financial time series, feature is observed heteroscedasticity. For their analysis and modeling, we use of models that take into account heteroscedasticity. So we decidedto compare different classes of GARCH and SV models. In this study, using the Maximum Likelihood (ML) estimator, we estimate the model parameters in two methods: IS1 and IS2 (Importance Sampling techniques). The results were compared with the GARCH and GARCH-t models. In addition to STOCHASTIC VOLATILITY models with Gaussian and Student-t distributed disturbances are considered. We compared these methods using VaR and backtesting. The results show that SV models have good prediction for calaulating VaR in 99%confidence level.

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APA: Copy

SAJJAD, R., HEDAYATI, SH., & HEDAYATI, SH.. (2013). COMPARATIVE BETWEEN SV (STOCHASTIC VOLATILITY) & GARCH MODELS BY VAR . FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(15), 79-97. SID. https://sid.ir/paper/197661/en

Vancouver: Copy

SAJJAD R., HEDAYATI SH., HEDAYATI SH.. COMPARATIVE BETWEEN SV (STOCHASTIC VOLATILITY) & GARCH MODELS BY VAR . FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(15):79-97. Available from: https://sid.ir/paper/197661/en

IEEE: Copy

R. SAJJAD, SH. HEDAYATI, and SH. HEDAYATI, “COMPARATIVE BETWEEN SV (STOCHASTIC VOLATILITY) & GARCH MODELS BY VAR ,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 15, pp. 79–97, 2013, [Online]. Available: https://sid.ir/paper/197661/en

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