Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084653 | International Review of Financial Analysis | 2016 | 22 Pages |
â¢To estimate intraday VaR and ES using data from International stock marketsâ¢To examine relative efficiency of Conditional EVT approach with other competing modelsâ¢The Conditional EVT approach turns out to be the best performing model for both the quantiles.â¢The findings are useful for high frequency traders.
The study compares the predictive ability of various models in estimating intraday Value-at-Risk (VaR) and Expected Shortfall (ES) using high frequency share price index data from sixteen different countries across the world for a period of seven and half months from September 20, 2013 to May 07, 2014. The main emphasis of the study has been given to Extreme Value Theory (EVT) and to evaluate how well Conditional EVT model performs in modeling tails of distributions and in estimating and forecasting intraday VaR and ES measures. We have followed McNeil and Frey's (2000) two stage approach called Conditional EVT to estimate dynamic intraday VaR and ES. We have compared the accuracy of Conditional EVT approach to intraday VaR and ES estimation with other competing models. The best performing model is found to be the Conditional EVT in estimating both the quantiles for the entire sample. The study is useful for market participants (such as intraday traders and market makers) involved in frequent intraday trading in such equity markets.