Shahed University

VALUE AT RISK FORECASTING OF GOLD PRICE: A COMPARISON BETWEEN THE GARCH AND LST-GARCH MODELS

Seyede Alemohammad
URL :   http://research.shahed.ac.ir/WSR/WebPages/Report/PaperView.aspx?PaperID=116884
Date :  2018/09/26
Publish in :    Theory of Stochastic Processes

Link :  http://www.mathnet.ru/links/c1b2b75c0640de97917b6e14ef3d2627/thsp289.pdf
Keywords :

Abstract :
Value at risk is one of the most important measure in nance. This paper evaluates the value at risk forecasting performance of the GARCH and logistic smooth transi- tion GARCH (LST-GARCH) models for the gold markets. The LST-GARCH model is capable to react di erently to positive and negative shocks in nancial time series. The results show that the LST-GARCH structure provides the more adequate value at risk forecasts relative to the GARCH model.