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Estimating Garch Models In Mongolian Stock Exchange With Value At Risk

Author

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  • Cheng-Wen Lee

    (Chung Yuan Christian University, Taiwan)

  • Dolgion Gankhuyag

    (Chung Yuan Christian University, Taiwan)

Abstract

This study will examine the effect of Autoregressive Conditional Heteroskedasticity and estimate Asymmetric GARCH models, Symmetric GARCH models, in the Mongolian Stock Index MSE20 time frame from 2 January 2012 to 27 December 2019. During the study, we found significant presence of autoregressive conditional heteroscedasticity effect, and evaluated Value at Risk model to determine predicted forecast loss. The study found that a maximum loss of one day would not surpass 2 percent, while all the calculation is less than 2 percent. The test has shown that both positive and negative shocks have the same effect on the volatility of MSE20 index daily returns.

Suggested Citation

  • Cheng-Wen Lee & Dolgion Gankhuyag, 2020. "Estimating Garch Models In Mongolian Stock Exchange With Value At Risk," Medzinarodne vztahy (Journal of International Relations), Ekonomická univerzita, Fakulta medzinárodných vzťahov, vol. 18(3), pages 263-275.
    • Handle: RePEc:brv:journl:v:18:y:2020:i:3:p:263-275
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    More about this item

    Keywords

    Asymmetric GARCH models; Symmetric GARCH models; Value at Risk; Stock market; Risk management;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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