Table of Contents
Economics Research International
Volume 2010, Article ID 838469, 16 pages
Research Article

A Comparative Study of VaR Estimation for Structured Products

Department of Finance, Shih Hsin University, no. 111, Section 1, Mu-Cha Road, Taipei 116, Taiwan

Received 16 April 2010; Revised 6 July 2010; Accepted 23 July 2010

Academic Editor: Laura Gardini

Copyright © 2010 Fen-Ying Chen. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


The previous literature commonly concluded that GARCH models provide better volatility forecasts in financial markets. This paper adopts the backtesting criteria, the multivariate extension of the Diebold and Mariano (1995) test, RMSE (root mean squared errors), and MAE (mean absolute errors) to compare the performances of selected conditional heteroscedastic models for structured products in the low oil price and high oil price periods. The results illustrate that, in general, the performance of GARCH type seems to be better in the whole periods whereas it is not in the low period and the high oil price period.