Paolella

Fakultäten » Wirtschaftswissenschaftliche Fakultät » Banking und Finance, Institut für » Prof. Dr. Marc Paolella » Paolella

Completed research project

Title / Titel	Stable Mixture GARCH Models
PDF	Abstract (PDF, 14 KB)
Summary / Zusammenfassung	A new and quite general model class for modeling the distribution of univariate asset returns is proposed which nests others, including the unconditional stable Paretian, unconditional mixtures of normals, normal-GARCH, stable-GARCH, and mixed-normal GARCH. An extensive Value-at-Risk forecasting exercise confirms the superiority of the general model, over a large range of quantiles, compared to its special cases and other competitors, providing evidence that the stable Paretian assumption, in a multi-component setting coupled with a rich GARCH-type structure, is a tenable assumption for the distribution of asset returns.
Keywords / Suchbegriffe	GARCH; Mixture models; Stable Paretian
Project leadership and contacts / Projektleitung und Kontakte	Prof. Dr. Marc S. Paolella (Project Leader) paolella@isb.uzh.ch Prof. Dr. Stefan Mittnik mittnik@stat-econ.uni-kiel.de Dr. Markus Haas haas@stat.uni-muenchen.de Dr. Sven C. Steude steude@iew.uzh.ch
Funding source(s) / Unterstützt durch	Forschungskredit der Universität Zürich, SNF (Programm NFS/NCCR)
Duration of Project / Projektdauer	Jan 2005 to Dec 2009