{"keyword":["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"],"type":"working_paper","department":[{"_id":"200"},{"_id":"186"}],"oa":"1","file":[{"creator":"dhanke","date_created":"2026-07-13T09:21:45Z","access_level":"open_access","file_size":1830858,"file_name":"TAF_WP_105_HankeUhdeFeng2026.pdf","date_updated":"2026-07-13T09:21:45Z","relation":"main_file","content_type":"application/pdf","file_id":"66450"}],"date_created":"2026-07-13T09:21:49Z","abstract":[{"lang":"eng","text":"This paper evaluates the forecasting performance of an expanded class of (semi-)parametric \r\nGARCH models belonging to the EGARCH family (EGF), including recently introduced long  \r\nand short memory specifications and their semiparametric extensions. The semiparametric \r\nvariants employ a multiplicative volatility decomposition into conditional and slowly varying \r\nunconditional components, where the latter is estimated via a data-driven local polynomial \r\nsmoother to accommodate non-stationarities commonly observed in financial time series. Based \r\non the revised Basel Committee framework for market-risk assessment, all models are capable \r\nof producing rolling one-day-ahead forecasts for Value at Risk (VaR) and Expected Shortfall \r\n(ES) under a wide range of symmetric and skewed innovation distributions. Their forecasting \r\naccuracy is examined using the regulatory traffic light tests for VaR and the recently developed \r\nES-specific traffic light procedure, complemented by the regulatory loss function. In addition, \r\nmodel selection incorporates both a recently proposed corrected firm-oriented loss function that \r\naccounts for opportunity costs and the Weighted Absolute Deviation (WAD) criterion. The \r\nempirical comparison demonstrates that (semiparametric) long memory GARCH models - \r\nparticularly those combining fractional dynamics with nonparametric scale adjustments - can \r\nserve as valuable alternatives to traditional parametric short memory models, offering more \r\nstable volatility estimates and improved tail-risk forecasts for practical risk management \r\napplications."}],"file_date_updated":"2026-07-13T09:21:45Z","citation":{"ama":"Hanke DC, Uhde A, Feng Y. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.; 2026.","bibtex":"@book{Hanke_Uhde_Feng_2026, title={Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III}, author={Hanke, Dominik Christian and Uhde, André and Feng, Yuanhua}, year={2026} }","mla":"Hanke, Dominik Christian, et al. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026.","short":"D.C. Hanke, A. Uhde, Y. Feng, Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III, 2026.","chicago":"Hanke, Dominik Christian, André Uhde, and Yuanhua Feng. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>, 2026.","apa":"Hanke, D. C., Uhde, A., &#38; Feng, Y. (2026). <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.","ieee":"D. C. Hanke, A. Uhde, and Y. Feng, <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026."},"user_id":"63677","ddc":["330"],"language":[{"iso":"eng"}],"_id":"66449","date_updated":"2026-07-16T09:07:19Z","has_accepted_license":"1","title":"Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III","status":"public","year":"2026","author":[{"id":"63677","first_name":"Dominik Christian","last_name":"Hanke","full_name":"Hanke, Dominik Christian"},{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","first_name":"André"},{"full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng","id":"20760"}],"jel":["C22","C4","C5","C6","B26"]}