Advanced Search
MyIDEAS: Login to save this article or follow this journal

The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange


Author Info

  • Aktham I. Maghyereh

    (Department of Banking and Finance, Hashemite University)

  • Sadeg J. Abul

    (Central Bank of Kuwait, Kuwait)

Registered author(s):


    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.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    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

    as in new window
    Handle: RePEc:ekn:ekonom:v:8:y:2005:i:2:p:194-209

    Contact details of provider:
    Web page:
    More information through EDIRC

    Related research


    Find related papers by JEL classification:


    No references listed on IDEAS
    You can help add them by filling out this form.



    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:ekn:ekonom:v:8:y:2005:i:2:p:194-209. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Managing Editor).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.