Прогнозування динамічних VaR і CVaR на основі квінтильної регресії з використанням металог розподілу
The paper proposes a new method of dynamic VaR and CVaR (ES) risk measures forecasting. Quantile linear GARCH model is chosen as the main forecasting model for time series quantiles. To build a forecast, the values of quantiles are approximated by the metalog distribution, which makes it possible to...
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| Date: | 2021 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2021
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| Subjects: | |
| Online Access: | http://journal.iasa.kpi.ua/article/view/236942 |
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| Journal Title: | System research and information technologies |