Estimation of value at risk for financial returns of pakistan using archimedean copula

Faisal Nawaz () and Abdul Qayyum
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Faisal Nawaz: COMSATS Institute of Information Technology, Attock

Economics Bulletin, 2012, vol. 32, issue 3, A26

Abstract: In this paper we use high-frequency multivariate data and attempt to model the joint distribution (dependence structure) of daily KSE-100 returns, S&P 500 and SSE 180 index. We compute portfolio Value at Risk (VaR) using Archimedean copula for three multivariate models, which were used to model the dependence structure of the three stock returns. We also compare the performances of these multivariate models based on the goodness of in-sample fit as well as backtesting of VaR results.

Keywords: Financial Econometrics; Copula; Value at Risk (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2012-08-06
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