Market risk valuation modeling for the European countries at the financial crisis of 2008

Alexandr Shcherba

Applied Econometrics, 2012, vol. 27, issue 3, 20-35

Abstract: The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods — pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the four APARCH(1,1) models and six distribution functions. The results of the investigation show the connection of the model with country's economic development and its financial condition at the different periods of time.

Keywords: VaR; APARCH; market risk; financial crisis 2008 (search for similar items in EconPapers)
JEL-codes: C22 C58 G32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0176

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