{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,11,6]],"date-time":"2025-11-06T15:47:28Z","timestamp":1762444048326},"reference-count":16,"publisher":"World Scientific Pub Co Pte Lt","issue":"03","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Int. J. Info. Tech. Dec. Mak."],"published-print":{"date-parts":[[2006,9]]},"abstract":"<jats:p> This paper studies the model risk; the risk of selecting a model for estimating the Value-at-Risk (VaR). By considering four GARCH-type volatility processes exponentially weighted moving average (EWMA), generalized autoregressive conditional heteroskedasticity (GARCH), exponential GARCH (EGARCH), and fractionally integrated GARCH (FIGARCH), we evaluate the performance of the estimated VaRs using statistical tests including the Kupiec's likelihood ratio (LR) test, the Christoffersen's LR test, the CHI (Christoffersen, Hahn, and Inoue) specification test, and the CHI nonnested test. The empirical study based on Shanghai Stock Exchange A Share Index indicates that both EGARCH and FIGARCH models perform much better than the other two in VaR computation and that the two CHI tests are more suitable for analyzing model risk. <\/jats:p>","DOI":"10.1142\/s021962200600209x","type":"journal-article","created":{"date-parts":[[2006,10,2]],"date-time":"2006-10-02T07:02:56Z","timestamp":1159772576000},"page":"503-512","source":"Crossref","is-referenced-by-count":10,"title":["MODEL RISK IN VaR ESTIMATION: AN EMPIRICAL STUDY"],"prefix":"10.1142","volume":"05","author":[{"given":"JING","family":"YAO","sequence":"first","affiliation":[{"name":"Department of Risk Management and Insurance, Lingnan (University) College, Sun Yat-Sen University, Guangzhou 510275, P. R. China"}]},{"given":"ZHONG-FEI","family":"LI","sequence":"additional","affiliation":[{"name":"Department of Risk Management and Insurance, Lingnan (University) College, Sun Yat-Sen University, Guangzhou 510275, P. R. China"},{"name":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada"}]},{"given":"KAI W.","family":"NG","sequence":"additional","affiliation":[{"name":"Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China"}]}],"member":"219","published-online":{"date-parts":[[2011,11,20]]},"reference":[{"key":"rf1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(95)01749-6"},{"key":"rf2","first-page":"12","author":"Beder T.","journal-title":"Financial Analysts Journal"},{"key":"rf3","doi-asserted-by":"publisher","DOI":"10.1198\/07350010152596718"},{"key":"rf4","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"rf5","doi-asserted-by":"publisher","DOI":"10.2307\/2527341"},{"key":"rf6","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00025-1"},{"key":"rf7","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407971"},{"key":"rf8","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"rf9","first-page":"39","author":"Hendricks D.","journal-title":"Federal Reserve Bank of New York Economic Policy Review"},{"key":"rf10","volume-title":"Value at Risk, The New Benchmark for Controlling Derivatives Risk","author":"Jorion P.","year":"1997"},{"key":"rf12","doi-asserted-by":"publisher","DOI":"10.2307\/2171942"},{"key":"rf13","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407942"},{"key":"rf14","first-page":"470","volume":"23","author":"Lopez J.","journal-title":"Journal of Risk"},{"key":"rf15","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407975"},{"key":"rf16","volume-title":"Riskmetrics-Technical Document","author":"Morgan J.","year":"1996"},{"key":"rf17","doi-asserted-by":"publisher","DOI":"10.2307\/2938260"}],"container-title":["International Journal of Information Technology &amp; Decision Making"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.worldscientific.com\/doi\/pdf\/10.1142\/S021962200600209X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,7]],"date-time":"2019-08-07T10:20:48Z","timestamp":1565173248000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S021962200600209X"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2006,9]]},"references-count":16,"journal-issue":{"issue":"03","published-online":{"date-parts":[[2011,11,20]]},"published-print":{"date-parts":[[2006,9]]}},"alternative-id":["10.1142\/S021962200600209X"],"URL":"https:\/\/doi.org\/10.1142\/s021962200600209x","relation":{},"ISSN":["0219-6220","1793-6845"],"issn-type":[{"value":"0219-6220","type":"print"},{"value":"1793-6845","type":"electronic"}],"subject":[],"published":{"date-parts":[[2006,9]]}}}