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., Market Models - A Guide to Financial Data Analysis, John Wiley & Sons, New York, 2001.
Barndorff-Nielsen, O.E., “Normal inverse Gaussian distributions and the modelling of stock returns,” Scandinavian Journal of Statistics, 24 (1997) 1-13.
Christoffersen, P., “Evaluating interval forecasts,” International Economic Review, 39 (1998) 841-862.
Dowd, K., Measuring Market Risk, John Wiley & Sons Ltd., New York, 2002.
Duffie, D., and Pan, J., “An overview of value at risk,” The Journal of Derivatives, 5 (1997) 749.
Eberlein, E., and Keller, U., “Hyperbolic distributions in finance,” Bernoulli, 1 (1995) 281-299.
Fama, E., “The behaviour of stock prices,” Journal of Business, 47 (1965) 244-280.
Giot, P., and Laurent, S., “Value-at-risk for long and short trading positions,” Journal of Applied Econometrics, 18 (2003) 641-664.
Hyndman, R. J., and Fan, Y., “Sample quantiles in statistical packages,” American Statistician, 50 (1996) 361-365.
Huang, Y.C., and Lin, B-J., “Value-at-risk analysis for Taiwan stock index futures: fat tails and conditional asymmetries in return innovations,” Review of Quantitative Finance and Accounting, 22 (2004) 79-95.
Jorion, P., Value at Risk: The New Benchmark for Controlling Market Risk, McGraw-Hill.
Kupiec, “Techniques for verifying the accuracy of risk measurement models,” Journal of Derivatives, 2 (1995) 73–84.
Mandelbrot, B., “The variations of certain speculative prices,” Journal of Business, 36 (1963) 394-419.
Sarma, M., Thomas, S., and Shah, A., “Selection of VaR models,” Journal of Forecasting, 22 (4) (2003) 337-358.
Živković, S., “Measuring market risk in EU new member states,” Dubrovnik Economic Conference, Dubrovnik, Croatia, 2007.
Živković, S., “Testing popular VaR models in EU new member and candidate states,” Zbornik radova, Ekonomski fakultet, Rijeka, 25 (2) (2007) 325-346.
Weron, R., Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach, John Wiley and Sons, 2006.
Downloads
Published
Issue
Section
License
Copyright (c) 2011 YUJOR
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
