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dc.contributor.author | Grané, Aurea |
dc.contributor.author | Veiga, Helena |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de Estadística |
dc.date.accessioned | 2010-02-01T16:20:53Z |
dc.date.available | 2010-02-01T16:20:53Z |
dc.date.issued | 2010-01 |
dc.identifier.uri | http://hdl.handle.net/10016/6699 |
dc.description.abstract | In this paper we focus on the impact of additive level outliers on the calculation of risk measures, such as minimum capital risk requirements, and compare four alternatives of reducing these measures' estimation biases. The first three proposals proceed by detecting and correcting outliers before estimating these risk measures with the GARCH(1,1) model, while the fourth procedure fits a Student’s t-distributed GARCH(1,1) model directly to the data. The former group includes the proposal of Grané and Veiga (2010), a detection procedure based on wavelets with hard- or soft-thresholding filtering, and the well known method of Franses and Ghijsels (1999). The first results, based on Monte Carlo experiments, reveal that the presence of outliers can bias severely the minimum capital risk requirement estimates calculated using the GARCH(1,1) model. The message driven from the second results, both empirical and simulations, is that outlier detection and filtering generate more accurate minimum capital risk requirements than the fourth alternative. Moreover, the detection procedure based on wavelets with hard-thresholding filtering gathers a very good performance in attenuating the effects of outliers and generating accurate minimum capital risk requirements out-of-sample, even in pretty volatile periods |
dc.format.mimetype | application/pdf |
dc.language.iso | eng |
dc.relation.ispartofseries | UC3M Working papers. Statistics and Econometrics |
dc.relation.ispartofseries | 10-02 |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject.other | Minimum capital risk requirements |
dc.subject.other | Outliers |
dc.subject.other | Wavelets |
dc.title | Outliers in Garch models and the estimation of risk measures |
dc.type | workingPaper |
dc.subject.jel | C22 |
dc.subject.jel | C5 |
dc.subject.jel | G13 |
dc.subject.eciencia | Estadística |
dc.rights.accessRights | openAccess |
dc.identifier.repec | ws100502 |
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