VALUE-AT-RISK ANALYSIS OF KOSPI 200 SECTOR INDICES
Sang Hoon Kang,
Seong-Min Yoon () and
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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
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)
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:771-777
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