Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
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-bas...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Kebangsaan Malaysia
2009
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| Online Access: | http://journalarticle.ukm.my/40/ http://journalarticle.ukm.my/40/ http://journalarticle.ukm.my/40/1/ |
| Summary: | 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. |
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