GARCH based VaR estimation: An empirical evidence from BRICS stock markets

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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Bibliographic Details
Main Authors: Siva Kiran GUPTHA. K, Prabhakar RAO. R
Format: Article
Language:English
Published: General Association of Economists from Romania 2019-12-01
Series:Theoretical and Applied Economics
Subjects:
emerging markets
garch models
volatility and leverage
var estimation
backtesting
Online Access: http://store.ectap.ro/articole/1430.pdf

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