Economics, Econometrics and Finance
4 years ago

Skewed distributions outperform in forecasting Value at Risk during crises.

RePEc: Research Papers in Economics
Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis
Pilar Abad Romero, Sonia Benito Muela, M.A. Sánchez-Granero, Carmen López-Martín

Paper Summary

Related papers

Economics, Econometrics and Finance
8 years ago

New model improves financial risk predictions for S&P500 index constituents.

Macroeconomic Analysis
Oil Price Shocks
Financial Volatility
2 views
Economics, Econometrics and Finance
3 years ago

Skewed GARCH Distributions Fail to Improve Volatility Forecasts During Crisis.

Oil Price Shocks
Financial Volatility
Macroeconomic Analysis
2 views
Economics, Econometrics and Finance
4 years ago

New model accurately predicts stock market crashes, minimizing financial losses.

Macroeconomic Analysis
Financial Volatility
Oil Price Shocks

The study compared different types of distributions to see which one is best at predicting financial risks during the Global Financial Crisis. Skewed distributions were found to be more accurate than normal or Student-t distributions in forecasting Value at Risk (VaR) for portfolio returns. This means that using skewed distributions can help firms better estimate potential losses and make more informed decisions about managing financial risks.