Return distribution and value at risk estimation for BELEX15
DOI:
https://doi.org/10.2298/YJOR1101103DKeywords:
Value at risk, return distributions, Kupiec test, BELEX15Abstract
The aim of this paper is to find distributions that adequately describe returns of the Belgrade Stock Exchange index BELEX15. The sample period covers 1067 trading days from 4 October 2005 to 25 December 2009. The obtained models were considered in estimating Value at Risk ( VaR ) at various confidence levels. Evaluation of VaR model accuracy was based on Kupiec likelihood ratio test.References
Alexander, C. (2001) Market models: A guide to financial data analysis. New York, itd: Wiley
Barndorff-Nielsen, O.E. (1997) Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling. Scandinavian Journal of Statistics, 24(1): 1-13
Christoffersen, P.F. (1998) Evaluating Interval Forecasts. International Economic Review, 39(4): 841
Dowd, K. (2002) Measuring Market Risk. Chichester: John Wiley & Sons
Duffie, D., Pan, J. (1997) An overview at value of risk. Journal of Derivates, 7-48
Eberlein, E., Keller, U. (1995) Hyperbolic Distributions in Finance. Bernoulli, 1(3): 281
Fama, E.F. (1965) The behaviour of stock prices. Journal of Business, 47, 244-280
Giot, P., Laurent, S. (2003) Value-at-risk for long and short trading positions. Journal of Applied Econometrics, 18 (6): 641-664
Huang, Y.C., Lin, B. (2004) Value-at-risk analysis for Taiwan stock index futures: Fat tails and conditional asymmetries in return innovations. Review of Quantitative Finance and Accounting, 22(2): 79-95
Hyndman, R.J., Fan, Y. (1996) Sample quantiles in statistical packages. American Statistician, 50(4): 361
Jorion, P. (1997) Value at risk: The new benchmark for controlling market risk. New York: McGraw-Hill
Kupiec, P. (1995) Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives, 2: 73-84
Mandelbrot, B.B. (1963) The variation of certain speculative prices. Journal of Business, 36(4): 392-417
Sarma, M., Thomas, S., Shah, A. (2003) Selection of Value-at-Risk models. Journal of Forecasting, 22(4): 337-358
Weron, R. (2006) Modeling and forecasting electricity loads and prices: A statistical approach. John Wiley & Sons
Žiković, S. (2007) Testing popular VaR models in EU new member and candidate states. Zbornik radova Ekonomskog fakulteta u Rijeci, vol. 25, 325-345
Živković, S. (2007) Measuring market risk in EU new member states. u: Dubrovnik Economic Conference, Dubrovnik, Croatia
Downloads
Published
Issue
Section
License
Copyright (c) YUJOR
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
