کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977948 | 1480188 | 2008 | 14 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Heavy-tailed value-at-risk analysis for Malaysian stock exchange Heavy-tailed value-at-risk analysis for Malaysian stock exchange](/preview/png/977948.png)
This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns. Alternative VaR measurement such as non-parametric quantile estimate is implemented using interpolation method. In addition, we also used the well-known two components ARCH modelling technique under the assumptions of normality and heavy-tailed (student-tt distribution) for the innovations. Our results evidenced that the predicted VaR under the Pareto distribution exhibited similar results with the symmetric heavy-tailed long-memory ARCH model. However, it is found that only the Pareto distribution is able to provide a convenient framework for asymmetric properties in both the lower and upper tails.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issues 16–17, 1 July 2008, Pages 4285–4298