Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme-value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. The empirical results evidence the EVT-bas...
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| Format: | Article |
| Language: | en |
| Published: |
Universiti Kebangsaan Malaysia
2009
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| Online Access: | http://journalarticle.ukm.my/40/1/ http://journalarticle.ukm.my/40/ http://www.ukm.my/~jsm/kandungan.html |
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| _version_ | 1831352872573337600 |
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| author | Chin, Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor, |
| author_facet | Chin, Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor, |
| author_sort | Chin, Wen Cheong |
| building | Tun Sri Lanang Library |
| collection | Institutional Repository |
| content_provider | Universiti Kebangsaan Malaysia |
| content_source | UKM Journal Article Repository |
| continent | Asia |
| country | Malaysia |
| description | This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme-value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. The empirical results evidence the EVT-based VaR are more accurate but only at higher quantiles. It is also found that EVT approach is able to provide a convenient framework for asymmetric properties in both the lower and upper tails which implies that the risk and reward are not equally likely for the short- and long-trading positions in Malaysian stock market. |
| format | Article |
| id | my-ukm.journal-40 |
| institution | Universiti Kebangsaan Malaysia |
| language | en |
| publishDate | 2009 |
| publisher | Universiti Kebangsaan Malaysia |
| record_format | eprints |
| spelling | my-ukm.journal-402016-12-14T06:26:13Z http://journalarticle.ukm.my/40/ Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model Chin, Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor, This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme-value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. The empirical results evidence the EVT-based VaR are more accurate but only at higher quantiles. It is also found that EVT approach is able to provide a convenient framework for asymmetric properties in both the lower and upper tails which implies that the risk and reward are not equally likely for the short- and long-trading positions in Malaysian stock market. Universiti Kebangsaan Malaysia 2009-08 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/40/1/ Chin, Wen Cheong and Zaidi Isa, and Abu Hassan Shaari Mohd Nor, (2009) Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model. Sains Malaysiana, 38 (4). pp. 567-575. ISSN 0126-6039 http://www.ukm.my/~jsm/kandungan.html |
| spellingShingle | Chin, Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor, Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model |
| title | Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model |
| title_full | Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model |
| title_fullStr | Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model |
| title_full_unstemmed | Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model |
| title_short | Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model |
| title_sort | financial risk evaluations in malaysian stock exchange using extreme-value theory and component-arch model |
| url | http://journalarticle.ukm.my/40/1/ http://journalarticle.ukm.my/40/ http://www.ukm.my/~jsm/kandungan.html |
| url_provider | http://journalarticle.ukm.my/ |