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Information Journal Paper

Title

Wavelet based Filtered historical simulation value at risk model in different time horizons in Tehran Stock Exchange

Pages

  1-22

Keywords

Not Registered.

Abstract

 Abstract: Value at risk is applied as a downside risk measure to quantify risk and as a basis for calculating the regulatory purpose capital of financial institutions. The present study seeks to select the most accurate models for estimating value at risk, both simple and advanced, and to present a new wavelet based model on Tehran Stock Exchange. Filtered historical simulation(FHS), Conditional extreme value theory model(CPOT) and a new hybrid semiparametric model called "Wavelet based Filtered historical simulation" in various forms using different volatility models and distribution assumptions were estimated and on the Tehran Stock Exchange. The backtest finding of research conducted in a period of about 11 years of the total index of Tehran Stock Exchange(TSE) from 2010/4/7 to 2020/4/1 (more than 2400 daily of index return data) indicate the higher accuracy of the filtered historical wavelet-based simulation (WFHS) VaR model in comparison to other models at all-time horizons and different confidence levels.

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  • Cite

    APA: Copy

    Vaice zade, vahid, SHEKARKHAH, JAVAD, & AMIRI, MEYSAM. (2022). Wavelet based Filtered historical simulation value at risk model in different time horizons in Tehran Stock Exchange. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 15(4 (57) ), 1-22. SID. https://sid.ir/paper/416638/en

    Vancouver: Copy

    Vaice zade vahid, SHEKARKHAH JAVAD, AMIRI MEYSAM. Wavelet based Filtered historical simulation value at risk model in different time horizons in Tehran Stock Exchange. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2022;15(4 (57) ):1-22. Available from: https://sid.ir/paper/416638/en

    IEEE: Copy

    vahid Vaice zade, JAVAD SHEKARKHAH, and MEYSAM AMIRI, “Wavelet based Filtered historical simulation value at risk model in different time horizons in Tehran Stock Exchange,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 15, no. 4 (57) , pp. 1–22, 2022, [Online]. Available: https://sid.ir/paper/416638/en

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