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Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation

Author

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  • Sang Hoon Kang

    (Gyeongsang National University)

  • Seong-Min Yoon

    (Pusan National University)

Abstract

This paper examines value-at-risk (VaR) analysis performance in the context of the market volatility of five Asian emerging stock markets. From the performance of VaR analysis, we found that the skewed Student��s t APARCH model is the best for incorporating the skewness and excess kurtosis of stock returns, and the appropriate assumption of return distribution can provide more accurate VaR models for Asian stock markets. This means that risk-averse investors or portfolio managers of long and short trading positions in Asian stock markets can build optimal margin levels using the VaR computation based on the skewed Student��s t APARCH model.

Suggested Citation

  • Sang Hoon Kang & Seong-Min Yoon, 2009. "Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation," Korean Economic Review, Korean Economic Association, vol. 25, pages 387-411.
    • Handle: RePEc:kea:keappr:ker-20091231-25-2-09
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    APARCH; Skewed Student��s t-Distribution; Value-at-Risk(VaR); Volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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