AN APPLICATION OF VALUE AT RISK BASED ON ARTIFICIAL NEURAL NETWORKS AND HETROSCECASDICITY MODELS

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NARIMANY REZA; HAKIMIPOUR NADER; ALAHREZAEE ASAAD

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Journal: Financial Economics Year:2013 | Volume:7 | Issue:24 Page(s): 101-137

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Information Journal Paper

Title

AN APPLICATION OF VALUE AT RISK BASED ON ARTIFICIAL NEURAL NETWORKS AND HETROSCECASDICITY MODELS

Author(s)

NARIMANY REZA | HAKIMIPOUR NADER | ALAHREZAEE ASAAD | Issue Writer Certificate

Keywords

VALUE AT RISKQ3

AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITYQ3

STOCK’S PORTFOLIOQ3

MARKET RISKQ3

Abstract

Market risk is the result of uncertainty about asset’s future returns in market. Nowadays there are various criteria to evaluate the risk associated with market, STOCK’S PORTFOLIO, industry, …. But although these various criteria, have a valuable information for market agents, but not a single comprehensive information about the MARKET RISK or STOCK’S PORTFOLIO. For this purpose, "VALUE AT RISK", offer a unique index of MARKET RISK or STOCK’S PORTFOLIO for market’s agent.In this paper all of models based on AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (GARCH, EGARCH, CGARCH, TARCH, GARCH-M) and Artificial Neural Network (ANN) method are used to forecasting VALUE AT RISK for 50 company with high liquidity The results were analyzed using Kupiec Test. Finally Artificial Neural Network model has a better performance compared with other methods based on Kupiec Test.

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APA: Copy

NARIMANY, REZA, HAKIMIPOUR, NADER, & ALAHREZAEE, ASAAD. (2013). AN APPLICATION OF VALUE AT RISK BASED ON ARTIFICIAL NEURAL NETWORKS AND HETROSCECASDICITY MODELS. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 7(24), 101-137. SID. https://sid.ir/paper/229133/en

Vancouver: Copy

NARIMANY REZA, HAKIMIPOUR NADER, ALAHREZAEE ASAAD. AN APPLICATION OF VALUE AT RISK BASED ON ARTIFICIAL NEURAL NETWORKS AND HETROSCECASDICITY MODELS. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2013;7(24):101-137. Available from: https://sid.ir/paper/229133/en

IEEE: Copy

REZA NARIMANY, NADER HAKIMIPOUR, and ASAAD ALAHREZAEE, “AN APPLICATION OF VALUE AT RISK BASED ON ARTIFICIAL NEURAL NETWORKS AND HETROSCECASDICITY MODELS,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 7, no. 24, pp. 101–137, 2013, [Online]. Available: https://sid.ir/paper/229133/en

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