Financial risk evaluations in Malaysian stock exchange using extreme-value-theory and component-ARCH model
This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme-value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. The empirical results evidence the EVT-bas...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Journal |
| Published: |
Sains Malaysiana, Penerbit Universiti Kebangsaan Malaysia
2009
|
| Subjects: | |
| Online Access: | http://www.myjurnal.my/public/article-view.php?id=9137 |