GARCH based VaR estimation: An empirical evidence from BRICS stock markets
This paper examines the adequacy of GARCH based VaR models in risk estimation for BRICS emerging stock markets. This study uses the daily data of stock indices in these markets for the period 25th September 1997 to 30th March 2018. Here we employ SGARCH, EGARCH and GJR-GARCH models to test volatilit...
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doaj-df3299eceaca444c925d73bd380a36742020-11-24T21:18:39ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292019-12-01XXVI420121818418678GARCH based VaR estimation: An empirical evidence from BRICS stock marketsSiva Kiran GUPTHA. K0Prabhakar RAO. R1 Sri Sathya Sai Institute of Higher Learning, India Sri Sathya Sai Institute of Higher Learning, India This paper examines the adequacy of GARCH based VaR models in risk estimation for BRICS emerging stock markets. This study uses the daily data of stock indices in these markets for the period 25th September 1997 to 30th March 2018. Here we employ SGARCH, EGARCH and GJR-GARCH models to test volatility persistence and leverage effect of these markets. It is observed that the volatility persistence and leverage effect is present in all these markets. In GARCH estimation the error distribution - students t is found to be suitable for Brazil, Russia, India, and South Africa whereas GED for China. From the backtesting results of Kupiec and Christoffersen test, it is found that these models are appropriate for Brazil, Russia, India, and South Africa in risk estimation at 99% one day VaR. http://store.ectap.ro/articole/1430.pdf emerging marketsgarch modelsvolatility and leveragevar estimationbacktesting |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Siva Kiran GUPTHA. K Prabhakar RAO. R |
spellingShingle |
Siva Kiran GUPTHA. K Prabhakar RAO. R GARCH based VaR estimation: An empirical evidence from BRICS stock markets Theoretical and Applied Economics emerging markets garch models volatility and leverage var estimation backtesting |
author_facet |
Siva Kiran GUPTHA. K Prabhakar RAO. R |
author_sort |
Siva Kiran GUPTHA. K |
title |
GARCH based VaR estimation: An empirical evidence from BRICS stock markets |
title_short |
GARCH based VaR estimation: An empirical evidence from BRICS stock markets |
title_full |
GARCH based VaR estimation: An empirical evidence from BRICS stock markets |
title_fullStr |
GARCH based VaR estimation: An empirical evidence from BRICS stock markets |
title_full_unstemmed |
GARCH based VaR estimation: An empirical evidence from BRICS stock markets |
title_sort |
garch based var estimation: an empirical evidence from brics stock markets |
publisher |
General Association of Economists from Romania |
series |
Theoretical and Applied Economics |
issn |
1841-8678 1844-0029 |
publishDate |
2019-12-01 |
description |
This paper examines the adequacy of GARCH based VaR models in risk estimation for
BRICS emerging stock markets. This study uses the daily data of stock indices in these markets for
the period 25th September 1997 to 30th March 2018. Here we employ SGARCH, EGARCH and
GJR-GARCH models to test volatility persistence and leverage effect of these markets. It is observed
that the volatility persistence and leverage effect is present in all these markets. In GARCH
estimation the error distribution - students t is found to be suitable for Brazil, Russia, India, and
South Africa whereas GED for China. From the backtesting results of Kupiec and Christoffersen
test, it is found that these models are appropriate for Brazil, Russia, India, and South Africa in risk
estimation at 99% one day VaR. |
topic |
emerging markets garch models volatility and leverage var estimation backtesting |
url |
http://store.ectap.ro/articole/1430.pdf
|
work_keys_str_mv |
AT sivakirangupthak garchbasedvarestimationanempiricalevidencefrombricsstockmarkets AT prabhakarraor garchbasedvarestimationanempiricalevidencefrombricsstockmarkets |
_version_ |
1726007989197864960 |