Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model

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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...

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Bibliographic Details
Main Authors:	Chin, Wen Cheong, Zaidi Isa, Abu Hassan Shaari Mohd Nor
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2009
Online Access:	http://journalarticle.ukm.my/40/ http://journalarticle.ukm.my/40/1/

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