Optimisation of Decay Factor in Time Weighted (Brw) Simulation
Implications for Var Performance in Mediterranean Countries
Bibliographic Data
| ID | 15066725 |
|---|---|
| Authors | Saša Žiković (0000-0003-2021-4754, University of Rijeka), Zdenko Prohaska (University of Rijeka) |
| Year | 2010 |
| Volume | 23 |
| Issue | 1 |
| Pages | 73-85 |
| Publication date | 2010-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2010.11517402 |
| OpenAlex | W1727724 |
| Language | EN |
In this paper we propose an optimisation approach to determining the optimal decay factor in time weighted (BRW) simulation. Testing of BRW simulation with different decay factors and competing VaR models is performed on a sample of nine Mediterranean countries, over a four year period that includes the ongoing financial crisis. After optimisation the BRW simulation is among the best performing tested VaR models, second only to EVT approaches. Optimising the decay factor in regards to Lopez function results in decay factor estimates that are higher than usually employed 0.97 and 0.99. The optimal decay factors are stable over time and provide significantly better backtesting results than the standard assumptions
Econometrics · Statistics · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact
| Highly cited | No |
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