Economics Research International

Research Article

A Comparative Study of VaR Estimation for Structured Products

Table 2

Order determination of selected models.


Products

	RUD notes		SPO notes		DJQ notes
Time series models	AIC	SBIC	AIC	SBIC	AIC	SBIC

Panel A: AR( )-ARCH(p) models

AR()-ARCH()
AR()-ARCH()
AR()-ARCH()
AR()-ARCH()
AR()-ARCH()

Panel B: AR( )-GARCH(p, q) models

AR()-GARCH(1,1)
AR()-GARCH(1,2)
AR()-GARCH(1,3)
AR()-GARCH(1,4)
AR()-GARCH(1,5)
AR()-GARCH(2,1)
AR()-GARCH(2,2)
AR()-GARCH(2,3)
AR()-GARCH(2,4)
AR()-GARCH(2,5)

Panel C: AR( )-EGARCH(p, q) models

AR()-EGARCH(1,1)
AR()-EGARCH(1,2)
AR()-EGARCH(1,3)
AR()-EGARCH(1,4)
AR()-EGARCH(1,5)
AR()-EGARCH(2,1)
AR()-EGARCH(2,2)
AR()-EGARCH(2,3)
AR()-EGARCH(2,4)
AR()-EGARCH(2,5)

Note that AIC and SBIC denote Akaike information criterion and Schwartz Bayesian information criterion, respectively.