Citation
Chin, , Wen Cheong and Zaidi, Isa and Abu Hassan Shaari , Mohd Nor (2009) Financial risk evaluations in Malaysian stock exchange using extreme-value-theory and component-ARCH model. Sains Malaysiana, 38 (4). pp. 567-575. ISSN 0126-6039
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Abstract
This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme-value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. The empirical results evidence the EVT-based VaR are more accurate but only at higher quantiles. It is also found that EVT approach is able to provide a convenient framework for asymmetric properties in both the lower and upper tails which implies that the risk and reward are not equally likely for the short- and long-trading positions in Malaysian stock market.
Item Type: | Article |
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Subjects: | H Social Sciences > HG Finance |
Depositing User: | Ms Rosnani Abd Wahab |
Date Deposited: | 04 Feb 2013 05:30 |
Last Modified: | 04 Feb 2013 05:30 |
URII: | http://shdl.mmu.edu.my/id/eprint/3795 |
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