Aktham I. Maghyereh (Department of Banking and Finance, Hashemite University) Sadeg J. Abul (Central Bank of Kuwait, Kuwait)
Abstract
This paper analyzes the performance of several volatility models to forecast daily Value-at-Risk (VaR) of the Kuwait Stock Exchange (KSE). Particularly, the paper models VaR for long and short trading positions by using a collection of ARCH models (GARCH, EGARCH, GJR and APARCH) based on three distributional assumptions (normal, Student-t, and skewed Student-t). The results indicate that the skewed Student-t distribution APARCH model provides the more accurate approach to measure VaR in the KSE.
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Article provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
Volume (Year): 8 (2005) Issue (Month): 2 (Winter) Pages: 194-209 Download reference. The following formats are available: HTML
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Find related papers by JEL classification: G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data) C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications