Next Article in Journal
Exchange Rate Effects on International Commercial Trade Competitiveness
Next Article in Special Issue
Financial Risk Disclosure and Financial Attributes among Publicly Traded Manufacturing Companies: Evidence from Bangladesh
Previous Article in Journal
Equity Options During the Shorting Ban of 2008
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2018, 11(2), 18; https://doi.org/10.3390/jrfm11020018

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH

1
John von Neumann Institute, Vietnam National University, Ho Chi Minh City, Vietnam
2
Queen’s Management School, Queen’s University Belfast, Belfast BT7 1NN, UK
3
Faculty of Business and Economics, Technische Universität Dresden, 01062 Dresden, Germany
4
Institute for Operations Research and Computational Finance, University of St. Gallen, 9000 St. Gallen, Switzerland
*
Author to whom correspondence should be addressed.
Received: 16 March 2018 / Revised: 3 April 2018 / Accepted: 3 April 2018 / Published: 5 April 2018
(This article belongs to the Special Issue Trends in Emerging Markets Finance, Institutions and Money)
Full-Text   |   PDF [446 KB, uploaded 3 May 2018]   |  

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. View Full-Text
Keywords: ASEAN; GARCH; stochastic volatility; Value-at-Risk ASEAN; GARCH; stochastic volatility; Value-at-Risk
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Bui Quang, P.; Klein, T.; Nguyen, N.H.; Walther, T. Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH. J. Risk Financial Manag. 2018, 11, 18.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top