Value-At-Risk Forecast Using Copulas: An Empirical Approach in Brazilian Stock Market
ثبت نشده
چکیده
Through empirical research is identified that the hypothesis of normal distribution of returns is no longer observed while verifying the existence of heavy tails and asymmetries in the distribution. Thus, the article has aimed empirically apply copula models using techniques of realized volatility (HAR) with high-frequency data and perform the calculation of Value at Risk for different periods. The results show that HAR models copula exhibited superior performance with respect to EWMA and GARCH in intervals of time greater than five minutes.
منابع مشابه
Developing Non-linear Dynamic Model to Estimate Value at Risk, Considering the Effects of Asymmetric News: Evidence from Tehran Stock Exchange
Empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. That is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of VaR. Copula theo...
متن کاملOptimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures
This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very complex for a portfolio with high number of assets. For t...
متن کاملStock Market Modeling Using Artificial Neural Network and Comparison with Classical Linear Models
Stock market plays an important role in the world economy. Stock market customers are interested in predicting the stock market general index price, since their income depends on this financial factor; Therefore, a reliable forecast in stock market can be extremely profitable for stockholders. Stock market prediction for financial markets has been one of the main challenges in forecasting finan...
متن کاملThe Effect of Uncertainty of Macroeconomic Indicators on Tehran Stock Exchange Return With an Approach of the TVP-SV Model
One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...
متن کاملNoise Trading Approach of Capital Asset Pricing at Tehran Stock Exchange
Noise traders as one of the key elements of the market play a significant role in determining the market volatilities, returns, and stock market mispricing. Hence, this study attempts to scrutinize the role of noise trading in capital asset pricing. Therefore, by using daily data, samples including 14105 data of 200 companies listed on stock exchange were selected and noise trading index was es...
متن کامل