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
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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