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Estimating value-at-risk models for non-conventional equity market index
Review of Financial Economics Pub Date : 2021-06-29 , DOI: 10.1002/rfe.1139
Ahmed S. Baig 1 , Hassan A. Butt 2 , Rizwan Khalid 3
Affiliation  

In this study, we evaluate Value-at-Risk (VaR) forecasts for non-conventional (i.e., Islamic) equity markets using various time-varying volatility models. Recent evidence suggests that volatility shifts in returns cause non-normality by significantly increasing kurtosis. Consequently, we endogenously detect significant shifts in the volatility of our Islamic equity market index returns and incorporate this information into selected models to estimate the downside risk. Our results show that the best forecast is generated by the dynamic quantile regression (DQR) model that does not make any specific assumptions about the underlying returns distribution. We also show the economic implications of our findings by calculating daily capital charges under Basel II Accord.

中文翻译:

估计非常规股票市场指数的风险价值模型

在这项研究中,我们使用各种随时间变化的波动率模型评估非常规(即伊斯兰)股票市场的风险价值(VaR)预测。最近的证据表明,收益的波动性变化通过显着增加峰度导致非正态性。因此,我们内生地检测到伊斯兰股票市场指数回报波动性的重大变化,并将此信息纳入选定的模型以估计下行风险。我们的结果表明,最佳预测是由动态分位数回归 (DQR) 模型生成的,该模型不对潜在收益分布做出任何具体假设。我们还通过计算巴塞尔 II 协议下的每日资本费用来展示我们的研究结果的经济意义。
更新日期:2021-06-29
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