Value-at-Risk Estimates from a SETAR Model

Year: 2016       Vol.: 65       No.: 1      

Authors: Joselito C. Magadia

Abstract:

A self-exciting threshold autoregressive (SETAR) model will be fitted to PSEi and value-at-risk estimates would be computed. Backtesting procedures would be employed to assess the accuracy of the estimates and compared with estimates derived from two other approaches to VaR estimation.

Keywords: threshold models, backtesting, APARCH

Download this article: