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

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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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/
http://journalarticle.ukm.my/40/1/
id ukm-40
recordtype eprints
spelling ukm-402016-12-14T06:26:13Z http://journalarticle.ukm.my/40/ Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model Chin, Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor, 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-based VaR are more accurate but only at higher quantiles. It is also found that EVT approach is able to provide a convenient framework for asymmetric properties in both the lower and upper tails which implies that the risk and reward are not equally likely for the short- and long-trading positions in Malaysian stock market. Universiti Kebangsaan Malaysia 2009-08 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/40/1/ Chin, Wen Cheong and Zaidi Isa, and Abu Hassan Shaari Mohd Nor, (2009) Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model. Sains Malaysiana, 38 (4). pp. 567-575. ISSN 0126-6039 http://www.ukm.my/~jsm/kandungan.html
repository_type Digital Repository
institution_category Local University
institution Universiti Kebangasaan Malaysia
building UKM Institutional Repository
collection Online Access
language English
description 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-based VaR are more accurate but only at higher quantiles. It is also found that EVT approach is able to provide a convenient framework for asymmetric properties in both the lower and upper tails which implies that the risk and reward are not equally likely for the short- and long-trading positions in Malaysian stock market.
format Article
author Chin, Wen Cheong
Zaidi Isa,
Abu Hassan Shaari Mohd Nor,
spellingShingle Chin, Wen Cheong
Zaidi Isa,
Abu Hassan Shaari Mohd Nor,
Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
author_facet Chin, Wen Cheong
Zaidi Isa,
Abu Hassan Shaari Mohd Nor,
author_sort Chin, Wen Cheong
title Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
title_short Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
title_full Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
title_fullStr Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
title_full_unstemmed Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model
title_sort financial risk evaluations in malaysian stock exchange using extreme-value theory and component-arch model
publisher Universiti Kebangsaan Malaysia
publishDate 2009
url http://journalarticle.ukm.my/40/
http://journalarticle.ukm.my/40/
http://journalarticle.ukm.my/40/1/
first_indexed 2023-09-18T19:01:06Z
last_indexed 2023-09-18T19:01:06Z
_version_ 1777403078897565696

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