Page 257 - Contributed Paper Session (CPS) - Volume 6

CPS1909 Retius C. et al.
the innovations is the most robust model for estimating VaR for FTSE/JSE all
share index returns. The backtesting procedure emphasized the superiority of
the GPD and PIVD models over Student- and stable models, thus providing a
very good candidate as an alternative distributional scheme.

References
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A. R. (ed.). Pretoria.
3. Makhwiting, M. R., 2014. Modelling volatility and financial market risks of
shares on the Johannesburg stock exchange. Master of Science,
University of Limpopo.
4. Paolella, M, S., (2016). Stable-GARCH models for financial returns: Fast
estimation and tests for stability. Econometrics, 4(25), 1-28.
5. Nolan, J. P., 2003. Modeling financial data with stable distributions. In:
RACHEV, S. T. (ed.) Handbook of Heavy Tailed Distributions in Finance:
Handbooks in Finance. Netherlands: Elsevier Science.
6. Tsay, R. S., 2013. Analysis of Financial Time Series, 3 edition. New Jersey:
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