ESTIMATING GARCH MODELS IN MONGOLIAN STOCK EXCHANGE WITH VALUE AT RISK

Cheng-Wen Lee () and Dolgion Gankhuyag ()
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Cheng-Wen Lee: Chung Yuan Christian University, Taiwan
Dolgion Gankhuyag: Chung Yuan Christian University, Taiwan

Medzinarodne vztahy (Journal of International Relations), 2020, vol. 18, issue 3, 263-275

Abstract: This study will examine the effect of Autoregressive Conditional Heteroskedasticity and estimate Asymmetric GARCH models, Symmetric GARCH models, in the Mongolian Stock Index MSE20 time frame from 2 January 2012 to 27 December 2019. During the study, we found significant presence of autoregressive conditional heteroscedasticity effect, and evaluated Value at Risk model to determine predicted forecast loss. The study found that a maximum loss of one day would not surpass 2 percent, while all the calculation is less than 2 percent. The test has shown that both positive and negative shocks have the same effect on the volatility of MSE20 index daily returns.

Keywords: Asymmetric GARCH models; Symmetric GARCH models; Value at Risk; Stock market; Risk management (search for similar items in EconPapers)
JEL-codes: G32 R15 (search for similar items in EconPapers)
Date: 2020
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