@techreport{66449,
  abstract     = {{This paper evaluates the forecasting performance of an expanded class of (semi-)parametric 
GARCH models belonging to the EGARCH family (EGF), including recently introduced long  
and short memory specifications and their semiparametric extensions. The semiparametric 
variants employ a multiplicative volatility decomposition into conditional and slowly varying 
unconditional components, where the latter is estimated via a data-driven local polynomial 
smoother to accommodate non-stationarities commonly observed in financial time series. Based 
on the revised Basel Committee framework for market-risk assessment, all models are capable 
of producing rolling one-day-ahead forecasts for Value at Risk (VaR) and Expected Shortfall 
(ES) under a wide range of symmetric and skewed innovation distributions. Their forecasting 
accuracy is examined using the regulatory traffic light tests for VaR and the recently developed 
ES-specific traffic light procedure, complemented by the regulatory loss function. In addition, 
model selection incorporates both a recently proposed corrected firm-oriented loss function that 
accounts for opportunity costs and the Weighted Absolute Deviation (WAD) criterion. The 
empirical comparison demonstrates that (semiparametric) long memory GARCH models - 
particularly those combining fractional dynamics with nonparametric scale adjustments - can 
serve as valuable alternatives to traditional parametric short memory models, offering more 
stable volatility estimates and improved tail-risk forecasts for practical risk management 
applications.}},
  author       = {{Hanke, Dominik Christian and Uhde, André and Feng, Yuanhua}},
  keywords     = {{semiparametric GARCH extension, data-driven local polynomial smoother, long  memory, GARCH models, Value at Risk, Expected Shortfall, traffic light test, backtesting, Basel  III, market risk}},
  title        = {{{Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III}}},
  year         = {{2026}},
}