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Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange

Panayiotis Diamandis, Georgios Kouretas () and Leonidas Zarangas
Additional contact information
Panayiotis Diamandis: Department of Business Administration, Athens University of Economics and Business
Leonidas Zarangas: Department of Finance and Auditing, Technological Educational Institute of Epirus

No 601, Working Papers from University of Crete, Department of Economics

Abstract: This paper provides Value-at-Risk estimates for daily stock returns with the application of various parametric univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data for three stock indexes of the Athens Stock Exchange (ASE) and three stocks of Greek companies listed in the ASE. We conduct our analysis with the adoption of the methodology suggested by Giot and Laurent (2003). Therefore, we estimate an APARCH model based on the skewed Student distribution to fully take into account the fat left and right tails of the returns distribution. We show that the estimated VaR for traders having both long and short positions in the Athens Stock Exchange is more accurately modeled by a skewed Student APARCH model that by a normal or Student distributions.

Keywords: Value-at-Risk; risk management; APARCH models; skewed Student distribution (search for similar items in EconPapers)
JEL-codes: C53 G21 G28 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2006-01
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
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