Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation
Sang Hoon Kang and
Seong-Min Yoon ()
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Sang Hoon Kang: Gyeongsang National University
Korean Economic Review, 2009, vol. 25, 387-411
This paper examines value-at-risk (VaR) analysis performance in the context of the market volatility of five Asian emerging stock markets. From the performance of VaR analysis, we found that the skewed Studentï¿½ï¿½s t APARCH model is the best for incorporating the skewness and excess kurtosis of stock returns, and the appropriate assumption of return distribution can provide more accurate VaR models for Asian stock markets. This means that risk-averse investors or portfolio managers of long and short trading positions in Asian stock markets can build optimal margin levels using the VaR computation based on the skewed Studentï¿½ï¿½s t APARCH model.
Keywords: APARCH; Skewed Studentï¿½ï¿½s t-Distribution; Value-at-Risk(VaR); Volatility (search for similar items in EconPapers)
JEL-codes: C32 C52 G11 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:kea:keappr:ker-20091231-25-2-09
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