THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS

Filip Iorgulescu ()

Revista Economica, 2012, vol. Supplement, issue 4, 360-368

Abstract: This paper aims to explore the most important stylized facts of asset returns and their impact on the development of Value-at-Risk models. The analysis was performed on the daily returns of the BET index and of four stocks, traded at Bucharest Stock Exchange, and covered a period of five years between 2006 and 2011. The results proved that, despite being researched for a long time, stylized facts continue to be relevant even in the context of the Romanian capital market. Furthermore, financial institutions should take them into account very seriously when estimating Value-at-Risk.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:blg:reveco:v:supplement:y:2012:i:4:p:360-368

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