The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
2011/04/26
研討會日期 : 2011-04-26
時間 : 14:30
主講人 : Professor Richard Gerlach
地點 : Confernece Room B110
演講者簡介 : Richard Gerlach got his Ph.D. in Statistics from University of New South Wales in 2001. He is currently serving as Associate Professor of Operations Management and Econometrics of Business School at The University of Sydney. His research field is in computational and financial econometrics, Bayesian statistics, financial risk forecasting and management, computationally intensive statistical methods, data analysis, forecasting, inference, Markov Chain Monte Carlo Estimation, and time series econometrics.
演講摘要 : A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR (expected shortfall). A range of conditional return distributions are combined with four GARCH volatility specifications to forecast tail risk, one-day-ahead, in four international markets, two exchange rates and one individual asset series, over a four year forecast period that includes the recent global financial crisis (GFC). The two-sided Weibull performs at least as well as other distributions for VaR forecasting,while it performs clearly the most favourably for conditional Value at Risk forecasting overall as well as in the three periods: prior to, during and after the recent GFC.
