Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH

Journal of Risk and Financial Management

Thomas Walther¹  Paul Bui Quang²  NamH. Nguyen²  Tony Klein³ 

[1] Faculty of Business and Economics, Technische Universität Dresden, 01062 Dresden, Germany;John von Neumann Institute, Vietnam National University, Ho Chi Minh City, Vietnam;Queen’s Management School, Queen’s University Belfast, Belfast BT7 1NN, UK;

关键词: ASEAN;    GARCH;    stochastic volatility;    Value-at-Risk;   

DOI  :  10.3390/jrfm11020018

来源: DOAJ

【 摘 要 】

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors.

【 授权许可】

Unknown