Paper Information

Journal:   TAHGHIGHAT-E-EGHTESADI   JUNE-SEPTEMBER 2007 , Volume - , Number 79; Page(s) 121 To 149.
 
Paper: 

THE PARAMETRIC METHODS FOR ESTIMATING THE VALUE AT RISK FOR TEHRAN STOCK EXCHANGE INDICES

 
 
Author(s):  SHAHMORADI ASGHAR, ZANGANEH MOHAMMAD
 
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Abstract: 

This paper investigates the Value at Risk (VAR) for Tehran Stock exchange using, four GARCH- type models, including GARCH (1,1), GARCH, Risk Metrics, and GARCH with optimal number of lags, Because most return series show fat-tailed distribution, we also consider the models with t-distributed errors. The results show that these types of models are quite successful in modeling average and variance of and estimating VAR for the retune series data. Risk Metrics outperforms the other models in modeling the data and estimation of VAR, regardless of the distribution of the errors. We, finally, provide a ranking of the indexes in terms of their VARs.

 
Keyword(s): GARCH MODELS, MARKET RISK, RISK METRICS, VALUE AT RISK
 
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