Estimation of Value-at-Risk with Time Varying skewness and kurtosis

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SAJJAD RASOUL; GORJI MAHSA

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Journal: Journal of Economic Research Year:2015 | Volume:50 | Issue:3 Page(s): 617-638

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Information Journal Paper

Title

Estimation of Value-at-Risk with Time Varying skewness and kurtosis

Author(s)

SAJJAD RASOUL | GORJI MAHSA | Issue Writer Certificate

Keywords

asymmetryQ2

HYAPARCH modelQ2

time varying skewness and kurtosisQ2

value-at-riskQ2

Abstract

This paper studies the effect of considering time varying skewness and kurtosis on the estimation of value at risk (VaR) for both long and short positions using the HYAPARCH model and daily data for Tehran Stock Exchange Price Index (TEPIX). Our results show that applying conditional distributions with time varying or constant skewness and degrees of freedom captures the asymmetry appropriately compared to the normal distribution. However, the VaR estimations of these models are conservative, moreover, they are appropriate for risk averse investors.

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APA: Copy

SAJJAD, RASOUL, & GORJI, MAHSA. (2015). Estimation of Value-at-Risk with Time Varying skewness and kurtosis. TAHGHIGHAT-E-EGHTESADI, 50(3 ), 617-638. SID. https://sid.ir/paper/11777/en

Vancouver: Copy

SAJJAD RASOUL, GORJI MAHSA. Estimation of Value-at-Risk with Time Varying skewness and kurtosis. TAHGHIGHAT-E-EGHTESADI[Internet]. 2015;50(3 ):617-638. Available from: https://sid.ir/paper/11777/en

IEEE: Copy

RASOUL SAJJAD, and MAHSA GORJI, “Estimation of Value-at-Risk with Time Varying skewness and kurtosis,” TAHGHIGHAT-E-EGHTESADI, vol. 50, no. 3 , pp. 617–638, 2015, [Online]. Available: https://sid.ir/paper/11777/en

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