GARCH-class models estimations and value-at-risk analysis for exchange rate
by Samir Mabrouk, Chaker Aloui
International Journal of Monetary Economics and Finance (IJMEF), Vol. 4, No. 3, 2011

Abstract: In this paper, we focus on three daily exchange rate returns dynamics. Indeed, we have assessed five GARCH-class models under three alternative distributions. Our findings confirm that the skewed Student-t FIAPARCH model performs very well. Then, we have computed short and long Value-at-Risk and Expected Shortfall based on AR (1) – FIAPARCH under normal, Student-t and skewed Student-t distributions. More precisely, we have investigated the estimation performance by computing both In-sample and Out-of-sample VaR for one-day-ahead horizon. Results reveal that VaR and ES estimations based on skewed Student-t FIAPARCH models outperform other models for both long and short trading positions.

Online publication date: Sun, 26-Jun-2011

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