Heavy-tailed value-at-risk analysis for Malaysian stock exchange
This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns. Alternative VaR measurement su...
| Main Author: | |
|---|---|
| Format: | Article |
| Published: |
ELSEVIER SCIENCE BV
2008
|
| Subjects: | |
| Online Access: | http://shdl.mmu.edu.my/2656/ |
| _version_ | 1848790115829153792 |
|---|---|
| author | CHIN, W |
| author_facet | CHIN, W |
| author_sort | CHIN, W |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns. Alternative VaR measurement such as non-parametric quantile estimate is implemented using interpolation method. In addition, we also used the well-known two components ARCH modelling technique under the assumptions of normality and heavy-tailed (student-t distribution) for the innovations. Our results evidenced that the predicted VaR under the Pareto distribution exhibited similar results with the symmetric heavy-tailed long-memory ARCH model. However, it is found that only the Pareto distribution is able to provide a convenient framework for asymmetric properties in both the lower and upper tails. (c) 2008 Elsevier B.V. All rights reserved. |
| first_indexed | 2025-11-14T18:07:29Z |
| format | Article |
| id | mmu-2656 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:07:29Z |
| publishDate | 2008 |
| publisher | ELSEVIER SCIENCE BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-26562011-09-08T03:15:56Z http://shdl.mmu.edu.my/2656/ Heavy-tailed value-at-risk analysis for Malaysian stock exchange CHIN, W T Technology (General) QA75.5-76.95 Electronic computers. Computer science This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns. Alternative VaR measurement such as non-parametric quantile estimate is implemented using interpolation method. In addition, we also used the well-known two components ARCH modelling technique under the assumptions of normality and heavy-tailed (student-t distribution) for the innovations. Our results evidenced that the predicted VaR under the Pareto distribution exhibited similar results with the symmetric heavy-tailed long-memory ARCH model. However, it is found that only the Pareto distribution is able to provide a convenient framework for asymmetric properties in both the lower and upper tails. (c) 2008 Elsevier B.V. All rights reserved. ELSEVIER SCIENCE BV 2008-07 Article NonPeerReviewed CHIN, W (2008) Heavy-tailed value-at-risk analysis for Malaysian stock exchange. Physica A: Statistical Mechanics and its Applications, 387 (16-17). pp. 4285-4298. ISSN 03784371 http://dx.doi.org/10.1016/j.physa.2008.01.075 doi:10.1016/j.physa.2008.01.075 doi:10.1016/j.physa.2008.01.075 |
| spellingShingle | T Technology (General) QA75.5-76.95 Electronic computers. Computer science CHIN, W Heavy-tailed value-at-risk analysis for Malaysian stock exchange |
| title | Heavy-tailed value-at-risk analysis for Malaysian stock exchange |
| title_full | Heavy-tailed value-at-risk analysis for Malaysian stock exchange |
| title_fullStr | Heavy-tailed value-at-risk analysis for Malaysian stock exchange |
| title_full_unstemmed | Heavy-tailed value-at-risk analysis for Malaysian stock exchange |
| title_short | Heavy-tailed value-at-risk analysis for Malaysian stock exchange |
| title_sort | heavy-tailed value-at-risk analysis for malaysian stock exchange |
| topic | T Technology (General) QA75.5-76.95 Electronic computers. Computer science |
| url | http://shdl.mmu.edu.my/2656/ http://shdl.mmu.edu.my/2656/ http://shdl.mmu.edu.my/2656/ |