Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
Journal
Journal of risk and financial management : JRFM
ISSN
1911-8066
ISSN-Digital
1911-8074
Type
journal article
Date Issued
2018-04-05
Author(s)
Abstract
This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
None
Refereed
Yes
Publisher
MDPI
Publisher place
Basel
Volume
11
Number
2
Official URL
Subject(s)
Division(s)
Eprints ID
254013
File(s)![Thumbnail Image]()
Name
jrfm-11-00018.pdf
Size
430.17 KB
Format
Adobe PDF
Checksum (MD5)
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