Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices |
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| Authors: | J Samuel Baixauli Susana Alvarez |
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| Institution: | (1) Department of Management and Finance, University of Murcia, Spain;(2) Department of Quantitative Methods for the Economy, University of Murcia, Spain;(3) Departamento de Organizacion de Empresas y Finanzas, Facultad de Economia y Empresa, 30100 Campus de Espinardo, Murcia, Spain;(4) Departamento de Metodos Cuantitativos para la Economia, Facultad de Economia y Empresa, 30100 Campus de Espinardo, Murcia, Spain |
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| Abstract: | The calculus of VaR involves dealing with the confidence level, the time horizon and the true underlying conditional distribution
function of asset returns. In this paper, we shall examine the effects of using a specific distribution function that fits
well the low-tail data of the observed distribution of asset returns on the accuracy of VaR estimates. In our analysis, we
consider some distributional forms characterized by capturing the excess kurtosis characteristic of stock return distributions
and we compare their performance using some international stock indices.
JEL Classification C15 · G10 |
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| Keywords: | Value at risk Excess kurtosis Low-tail behaviour Nonparametric goodness-of-fit tests Parametric bootstrap |
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