Year: 2016 Vol.: 65 No.: 1
Authors: Joselito C. Magadia
Abstract:
A self-exciting threshold autoregressive (SETAR) model will be fitted to PSEi and value-at-risk estimates would be computed. Backtesting procedures would be employed to assess the accuracy of the estimates and compared with estimates derived from two other approaches to VaR estimation.
Keywords: threshold models, backtesting, APARCH