Computational Statistics

, Volume 27, Issue 4, pp 685–700

Estimating value at risk with semiparametric support vector quantile regression

  • Jooyong Shim
  • Yongtae Kim
  • Jangtaek Lee
  • Changha Hwang
Original Paper

DOI: 10.1007/s00180-011-0283-z

Cite this article as:
Shim, J., Kim, Y., Lee, J. et al. Comput Stat (2012) 27: 685. doi:10.1007/s00180-011-0283-z

Abstract

Value at Risk (VaR) has been used as an important tool to measure the market risk under normal market. Usually the VaR of log returns is calculated by assuming a normal distribution. However, log returns are frequently found not normally distributed. This paper proposes the estimation approach of VaR using semiparametric support vector quantile regression (SSVQR) models which are functions of the one-step-ahead volatility forecast and the length of the holding period, and can be used regardless of the distribution. We find that the proposed models perform better overall than the variance-covariance and linear quantile regression approaches for return data on S&P 500, NIKEI 225 and KOSPI 200 indices.

Keywords

EWMAGARCHt-GARCHQuantile regressionSemiparametric support vector quantile regressionValue at risk

Copyright information

© Springer-Verlag 2011

Authors and Affiliations

  • Jooyong Shim
    • 1
  • Yongtae Kim
    • 2
  • Jangtaek Lee
    • 2
  • Changha Hwang
    • 2
  1. 1.Department of Data Science and Institute of Statistical InformationInje UniversityKimhaeKorea
  2. 2.Department of StatisticsDankook UniversityYonginKorea