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VALUE-AT-RISK ANALYSIS OF KOSPI 200 SECTOR INDICES

Sang Hoon Kang, Hwan-Gue Cho, Suyeol Ryu, Seong-Min Yoon () and Sung-Jin Cho
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Sang Hoon Kang: Gyeongsang National University
Hwan-Gue Cho: Pusan National University
Suyeol Ryu: Andong National University
Sung-Jin Cho: Pukyong National University

Theoretical and Applied Economics, 2009, vol. 12(541)(supplement), issue 12(541)(supplement), 771-777

Abstract: We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and asymmetry properties of the volatility. In addition, the skewed Student-t models outperformed the normal models in measuring the fat tails and asymmetry of the densities.

Keywords: asymmetry; forecasting accuracy; long memory; skewed student-t distribution. (search for similar items in EconPapers)
Date: 2009
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