The ranking of Exchange,Trade Funds (ETFs);Applying the parametric value at risk approach

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ZOMORODIAN GHOLAMREZA; RAHNAMAY ROODPOSHTI FRAYDOON; Borzabadi Farahani Maryam

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:31 Page(s): 193-208

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Title

The ranking of Exchange,Trade Funds (ETFs);Applying the parametric value at risk approach

Author(s)

ZOMORODIAN GHOLAMREZA | RAHNAMAY ROODPOSHTI FRAYDOON | Borzabadi Farahani Maryam | Issue Writer Certificate

Keywords

Exchange-Traded FundsQ1

stock exchangeQ2

Value at riskQ1

inverted variance modelQ1

Abstract

Studying and ranking the Exchange-Traded Funds have been vital issues, since these asset funds have been amongst the most popular financial means, which their significant emergence and growth may confirm undeniable success in the global market. On the other hand, the most part of studying and ranking these funds can be categorized based on the efficiency criteria. Accordingly, applying a new perspective, this paper would consider the funds ranking based on Value at risk approach. In doing so, the funds have been considered who had been active in the period of the 2014-September to 2017-September. Findings of the research show the appropriate Value at risk models based on GARCH approach. In addition, the ranking based on the loss function illustrates that Almas, Atlas and Asam Exchange-Traded Funds have had the lowest risk in this study.

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APA: Copy

ZOMORODIAN, GHOLAMREZA, RAHNAMAY ROODPOSHTI, FRAYDOON, & Borzabadi Farahani, Maryam. (2019). The ranking of Exchange,Trade Funds (ETFs);Applying the parametric value at risk approach. INVESTMENT KNOWLEDGE, 8(31 ), 193-208. SID. https://sid.ir/paper/388718/en

Vancouver: Copy

ZOMORODIAN GHOLAMREZA, RAHNAMAY ROODPOSHTI FRAYDOON, Borzabadi Farahani Maryam. The ranking of Exchange,Trade Funds (ETFs);Applying the parametric value at risk approach. INVESTMENT KNOWLEDGE[Internet]. 2019;8(31 ):193-208. Available from: https://sid.ir/paper/388718/en

IEEE: Copy

GHOLAMREZA ZOMORODIAN, FRAYDOON RAHNAMAY ROODPOSHTI, and Maryam Borzabadi Farahani, “The ranking of Exchange,Trade Funds (ETFs);Applying the parametric value at risk approach,” INVESTMENT KNOWLEDGE, vol. 8, no. 31 , pp. 193–208, 2019, [Online]. Available: https://sid.ir/paper/388718/en

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