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Estimation of value at risk for stock prices in mobile phone industry

Risk management and market losses prediction played a vital role in the financial sector. Value-at-Risk (VaR) is one of the effective measures for financial risk management. This research studies three mobile phone companies which are Apple Inc, Google Inc and Microsoft Corporation. The stocks of th...

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Main Authors: Shinyie, W. L., Chan, Kah Li, Lim, Fong Peng
Format: Article
Language:English
Published: Universiti Malaysia Pahang Publishing 2021
Online Access:http://psasir.upm.edu.my/id/eprint/97136/1/ABSTRACT.pdf
http://psasir.upm.edu.my/id/eprint/97136/
https://journal.ump.edu.my/daam/article/view/6931
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spelling my.upm.eprints.971362022-09-13T08:56:21Z http://psasir.upm.edu.my/id/eprint/97136/ Estimation of value at risk for stock prices in mobile phone industry Shinyie, W. L. Chan, Kah Li Lim, Fong Peng Risk management and market losses prediction played a vital role in the financial sector. Value-at-Risk (VaR) is one of the effective measures for financial risk management. This research studies three mobile phone companies which are Apple Inc, Google Inc and Microsoft Corporation. The stocks of these companies are listed under the National Association of Securities Dealers Automated Quotations stock exchange (NASDAQ). The Value-at-Risk is evaluated by using two non-parametric methods and four parametric methods. Two non-parametric methods used are the basic historical method and age-weighted historical method, while the four parametric methods are normal distribution, student’s t-distribution, generalized extreme value distribution, and variance gamma distribution. Shapiro-Wilk normality test indicates that the return series of the selected companies are not normally distributed. This study found that, at 95% confidence level, the risks of the selected stocks are different for each method, and the stock of Microsoft Corporation is the least risky stock as it gives the lowest VaR. Through the conditional coverage test, this study founds that the age-weighted historical method overestimated the VaR. In addition, this study also concludes that the basic historical method, generalized extreme value distribution and variance gamma distribution are superior to other methods in the backtesting procedure. Universiti Malaysia Pahang Publishing 2021 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/97136/1/ABSTRACT.pdf Shinyie, W. L. and Chan, Kah Li and Lim, Fong Peng (2021) Estimation of value at risk for stock prices in mobile phone industry. Data Analytics and Applied Mathematics (DAAM), 2 (2). pp. 1-13. ISSN 2773-4854 https://journal.ump.edu.my/daam/article/view/6931 10.15282/daam.v2i2.6931
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description Risk management and market losses prediction played a vital role in the financial sector. Value-at-Risk (VaR) is one of the effective measures for financial risk management. This research studies three mobile phone companies which are Apple Inc, Google Inc and Microsoft Corporation. The stocks of these companies are listed under the National Association of Securities Dealers Automated Quotations stock exchange (NASDAQ). The Value-at-Risk is evaluated by using two non-parametric methods and four parametric methods. Two non-parametric methods used are the basic historical method and age-weighted historical method, while the four parametric methods are normal distribution, student’s t-distribution, generalized extreme value distribution, and variance gamma distribution. Shapiro-Wilk normality test indicates that the return series of the selected companies are not normally distributed. This study found that, at 95% confidence level, the risks of the selected stocks are different for each method, and the stock of Microsoft Corporation is the least risky stock as it gives the lowest VaR. Through the conditional coverage test, this study founds that the age-weighted historical method overestimated the VaR. In addition, this study also concludes that the basic historical method, generalized extreme value distribution and variance gamma distribution are superior to other methods in the backtesting procedure.
format Article
author Shinyie, W. L.
Chan, Kah Li
Lim, Fong Peng
spellingShingle Shinyie, W. L.
Chan, Kah Li
Lim, Fong Peng
Estimation of value at risk for stock prices in mobile phone industry
author_facet Shinyie, W. L.
Chan, Kah Li
Lim, Fong Peng
author_sort Shinyie, W. L.
title Estimation of value at risk for stock prices in mobile phone industry
title_short Estimation of value at risk for stock prices in mobile phone industry
title_full Estimation of value at risk for stock prices in mobile phone industry
title_fullStr Estimation of value at risk for stock prices in mobile phone industry
title_full_unstemmed Estimation of value at risk for stock prices in mobile phone industry
title_sort estimation of value at risk for stock prices in mobile phone industry
publisher Universiti Malaysia Pahang Publishing
publishDate 2021
url http://psasir.upm.edu.my/id/eprint/97136/1/ABSTRACT.pdf
http://psasir.upm.edu.my/id/eprint/97136/
https://journal.ump.edu.my/daam/article/view/6931
_version_ 1744355305761800192
score 13.211869

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