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Forecasting Value at Risk in Emerging Arab Stock Markets

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Author Info

  • C. Guermat

    (Department of Economics, University of Exeter)

  • K. Hadri

    (University of Liverpool)

  • C. C. Kucukozmen

    (BDDK, Turkey)

Abstract

The economic and political instability of most of the Arab countries may lead to the assumption that Arab stock markets are riskier and less predictable than stock markets in developed countries. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. In this paper extreme value theory with volatility updating is used to forecast Value at Risk in three emerging Arab stock markets and the US stock market. Several forecast accuracy criteria are used to compare forecast performance in the four stock markets, including a suggested asymmetric forecast criterion. The various criteria used in this paper suggest that Arab stock markets are less risky than the US stock market.

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File URL: http://people.exeter.ac.uk/cc371/RePEc/dpapers/DP0303.pdf
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Bibliographic Info

Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 0303.

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Date of creation: Dec 2003
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Handle: RePEc:exe:wpaper:0303

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Related research

Keywords: Value-at-Risk; Extreme Events; Hill Estimator; Volatility Updating.;

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