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Bias of a Value-at-Risk estimator |
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| Authors: | Yong Bao Aman Ullah |
| Affiliation: | Department of Economics, University of California, Riverside, CA 92521, USA |
| Abstract: | We develop the analytical second-order bias of a Value-at-Risk estimator based on an ARCH(1) volatility specification when the parameters are estimated by the method of quasi maximum likelihood. We show that the bias results from two sources: assumption on the distribution of the standardized residuals and the parameter estimation error. |
| Keywords: | Value-at-Risk Second-order bias |
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