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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/78877

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78877

Title:	Value-at-Risk for Long and Short Positions of Asian Stock Markets
Authors:	Tu, Anthony H.;Wong, Woon K.;Chang, Matthew C. 杜化宇
Contributors:	財管系
Keywords:	Stock Market;Stocks
Date:	2008-12
Issue Date:	2015-10-06 16:33:48 (UTC+8)
Abstract:	Empirical research shows that stock market returns distributions can be asymmetric and the auto-correlations of its absolute returns are stronger than that of its squared returns. An asymmetric returns distribution means that the left and right tails would have different thickness, whereas higher auto-correlation of absolute returns implies that better volatility forecasts are possible. This has significant economic implication for risk management that requires accurate estimation of Value-at-Risk (VaR). In this paper, we therefore investigate the performance of VaR models that take into consideration of the skewness of the innovation process and utilize the Box-Cox transformation of conditional variance in a flexible ARCH-type model. Specifically, we use the Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) model based on the skewed Student density to model the VaRs of daily returns of those Asian markets found to exhibit both skewness and kurtosis in the innovation process. We apply the likelihood ratio tests of proportional failure rates to such VaR model and compare the results with other VaR models, in particular, APARCH with symmetric distributions and APARCH with skewed Student distributions. It is found that the APARCH model with skewed Student distribution performs the best for the Asian markets considered.
Relation:	International Research Journal of Finance and Economics, 22, 135-143
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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