Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index

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Mozaffari Mehrdokht; NIKOOMARAM HASHEM

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:8 | Issue:32 Page(s): 51-66

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Title

Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index

Author(s)

Mozaffari Mehrdokht | NIKOOMARAM HASHEM | Issue Writer Certificate

Keywords

risk managementQ1

Value at riskQ1

Extreme Value TheoryQ1

E-GARCH ModelQ1

Block Maxima MethodQ1

Abstract

Value at risk is one of the most important criteria in financial markets for risk assessment. Various methods have been proposed for measuring this index. Extreme Value Theory is one of the new methods for calculating the Value at risk that focuses on Distribution sequence of series, and instead of taking all data into account without considering the limiting assumptions such as the assumption of normalization. In this research, the logarithmic return of Tehran Stock Exchange index based on the data received during the time intervals of the day (due to the use of high frequency data) during the years 1392 to 1395 was summed up and the Block Maxima Approach was used in VaR measurement. Given the correlation between the variance and the time series of the data, the problem was first solved using the E-GARCH Model. Then VaR index was calculated in three blocking conditions based on hourly, daily and monthly data. The results showed that the use of monthly data in calculating this index has a higher predictive accuracy.

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APA: Copy

Mozaffari, Mehrdokht, & NIKOOMARAM, HASHEM. (2020). Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index. INVESTMENT KNOWLEDGE, 8(32 ), 51-66. SID. https://sid.ir/paper/386297/en

Vancouver: Copy

Mozaffari Mehrdokht, NIKOOMARAM HASHEM. Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index. INVESTMENT KNOWLEDGE[Internet]. 2020;8(32 ):51-66. Available from: https://sid.ir/paper/386297/en

IEEE: Copy

Mehrdokht Mozaffari, and HASHEM NIKOOMARAM, “Financial risk assessment based on Extreme Value Theory and instantaneous data of Tehran Stock Exchange Index,” INVESTMENT KNOWLEDGE, vol. 8, no. 32 , pp. 51–66, 2020, [Online]. Available: https://sid.ir/paper/386297/en

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