Cover Image

Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]

The purpose of this paper is to estimate the stock market risk exposure within the Tiger Cub Economies regions in calm and stormy stock market conditions. The secondary objective of the empirical research is to determine the reliability and accuracy of the stock market risk model used by most bankin...

Full description

Saved in:
Bibliographic Details
Main Authors: Abdul Hamit, Ahmad Fauze, Fridrict, Ninalyn, Supar, Siti Julea, Patrick, Maily, Bujang, Imbarine
Format: Article
Language:English
Published: Universiti Teknologi MARA Selangor 2022
Subjects:
Economics
Business
Online Access:https://ir.uitm.edu.my/id/eprint/74895/1/74895.pdf
https://ir.uitm.edu.my/id/eprint/74895/
http://myjms.mohe.gov.my/index.php/JEEIR
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.uitm.ir.74895
record_format eprints
spelling my.uitm.ir.748952023-03-31T00:30:44Z https://ir.uitm.edu.my/id/eprint/74895/ Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.] jeeir Abdul Hamit, Ahmad Fauze Fridrict, Ninalyn Supar, Siti Julea Patrick, Maily Bujang, Imbarine Economics Business The purpose of this paper is to estimate the stock market risk exposure within the Tiger Cub Economies regions in calm and stormy stock market conditions. The secondary objective of the empirical research is to determine the reliability and accuracy of the stock market risk model used by most banking sectors within the region as the primary tool for mitigating potential systemic risk. The precision of the stock market risk model was assessed using the 250-day trading data of major indices from five emerging ASEAN countries or known as the Tiger Cub Economies stretching from January 2019 until December 2020. It consists of two sub-samples which are known as pre-COVID-19 pandemic and during COVID-19 pandemic. The current study contributes to the existing literature on the ability of VaR-HS model in estimating accurate stock market risk exposure in light of the recent pandemic COVID-19 within the Tiger Cub Economies region. Interestingly, it is also evident that inaccurate VaR-HS tend to overestimate the risk and VaR-GARCH tends to severely underestimate the measures during extreme market conditions. Finally, by recalibrating models that severely over/understate the risk during pandemic stormy market conditions in SETi and VNI indices, it is also imperative that RiskMetrics EWMA could improve the estimation measures in an extreme market event by putting more weights on the most recent volatility memory. The current study reveals new insights where in the event of a crisis, HS-VaR estimates tend to be overstated while GARCH-VaR measures could be understated where it is evident that EWMA-VaR estimates could provide a better measure of stock market risk exposure, particularly during stormy periods. Universiti Teknologi MARA Selangor 2022-09 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/74895/1/74895.pdf Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]. (2022) Journal of Emerging Economies & Islamic Research, 10 (3). pp. 63-78. ISSN 2289-2559 http://myjms.mohe.gov.my/index.php/JEEIR
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Economics
Business
spellingShingle Economics
Business
Abdul Hamit, Ahmad Fauze
Fridrict, Ninalyn
Supar, Siti Julea
Patrick, Maily
Bujang, Imbarine
Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]
description The purpose of this paper is to estimate the stock market risk exposure within the Tiger Cub Economies regions in calm and stormy stock market conditions. The secondary objective of the empirical research is to determine the reliability and accuracy of the stock market risk model used by most banking sectors within the region as the primary tool for mitigating potential systemic risk. The precision of the stock market risk model was assessed using the 250-day trading data of major indices from five emerging ASEAN countries or known as the Tiger Cub Economies stretching from January 2019 until December 2020. It consists of two sub-samples which are known as pre-COVID-19 pandemic and during COVID-19 pandemic. The current study contributes to the existing literature on the ability of VaR-HS model in estimating accurate stock market risk exposure in light of the recent pandemic COVID-19 within the Tiger Cub Economies region. Interestingly, it is also evident that inaccurate VaR-HS tend to overestimate the risk and VaR-GARCH tends to severely underestimate the measures during extreme market conditions. Finally, by recalibrating models that severely over/understate the risk during pandemic stormy market conditions in SETi and VNI indices, it is also imperative that RiskMetrics EWMA could improve the estimation measures in an extreme market event by putting more weights on the most recent volatility memory. The current study reveals new insights where in the event of a crisis, HS-VaR estimates tend to be overstated while GARCH-VaR measures could be understated where it is evident that EWMA-VaR estimates could provide a better measure of stock market risk exposure, particularly during stormy periods.
format Article
author Abdul Hamit, Ahmad Fauze
Fridrict, Ninalyn
Supar, Siti Julea
Patrick, Maily
Bujang, Imbarine
author_facet Abdul Hamit, Ahmad Fauze
Fridrict, Ninalyn
Supar, Siti Julea
Patrick, Maily
Bujang, Imbarine
author_sort Abdul Hamit, Ahmad Fauze
title Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]
title_short Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]
title_full Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]
title_fullStr Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]
title_full_unstemmed Estimating the precision of market risk within the tiger cub economies’ region through VaR backtesting/ Ahmad Fauze Abdul Hamit ... [et al.]
title_sort estimating the precision of market risk within the tiger cub economies’ region through var backtesting/ ahmad fauze abdul hamit ... [et al.]
publisher Universiti Teknologi MARA Selangor
publishDate 2022
url https://ir.uitm.edu.my/id/eprint/74895/1/74895.pdf
https://ir.uitm.edu.my/id/eprint/74895/
http://myjms.mohe.gov.my/index.php/JEEIR
_version_ 1762396039202996224
score 13.211869

Similar Items