Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation

Sang Hoon Kang and Seong-Min Yoon
Additional contact information
Sang Hoon Kang: Gyeongsang National University

Korean Economic Review, 2009, vol. 25, 387-411

Abstract: This paper examines value-at-risk (VaR) analysis performance in the context of the market volatility of five Asian emerging stock markets. From the performance of VaR analysis, we found that the skewed Student��s t APARCH model is the best for incorporating the skewness and excess kurtosis of stock returns, and the appropriate assumption of return distribution can provide more accurate VaR models for Asian stock markets. This means that risk-averse investors or portfolio managers of long and short trading positions in Asian stock markets can build optimal margin levels using the VaR computation based on the skewed Student��s t APARCH model.

Keywords: APARCH; Skewed Student��s t-Distribution; Value-at-Risk(VaR); Volatility (search for similar items in EconPapers)
JEL-codes: C32 C52 G11 G15 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://keapaper.kea.ne.kr/RePEc/kea/keappr/KER-20091231-25-2-09.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kea:keappr:ker-20091231-25-2-09

Access Statistics for this article

Korean Economic Review is currently edited by Kyung Hwan Baik

More articles in Korean Economic Review from Korean Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by KEA ().