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Value at Risk with tempered multistable motions

Abstract : This is an empirical work showing numerically the importance of taking into account non-stationarities in CGMY and similar models for computing VaRs. More precisely we model S&P 500 logs with a CGMY model, but where the parameters are allowed to vary. We show that C, G, M and Y in- deed display significant variations across time. Most relevant is the variation of Y , which implies that the correct modelling frame is the one of tempered multistable motions, a recently introduced class of stochastic processes. We provide experimental evidence that these variations have a notable impact on VaR estimation, and thus should be taken into account for proper risk evaluation.
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Submitted on : Tuesday, October 1, 2013 - 4:45:06 PM
Last modification on : Thursday, January 20, 2022 - 4:15:38 PM
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  • HAL Id : hal-00868634, version 1



Hicham El Mekeddem, Jacques Lévy Véhel. Value at Risk with tempered multistable motions. 30th International French Finance Association Conference, May 2013, Lyon, France. ⟨hal-00868634⟩



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