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Value-At-Risk Analysis Of Kospi 200 Sector Indices

Author

Listed:
  • Sang Hoon Kang

    (Gyeongsang National University)

  • Hwan-Gue Cho

    (Pusan National University)

  • Suyeol Ryu

    (Andong National University)

  • Seong-Min Yoon

    (Pusan National University)

  • Sung-Jin Cho

    (Pukyong National University)

Abstract

We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and asymmetry properties of the volatility. In addition, the skewed Student-t models outperformed the normal models in measuring the fat tails and asymmetry of the densities.

Suggested Citation

  • Sang Hoon Kang & Hwan-Gue Cho & Suyeol Ryu & Seong-Min Yoon & Sung-Jin Cho, 2009. "Value-At-Risk Analysis Of Kospi 200 Sector Indices," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 12(12(541)(s), pages 771-777, December.
    • Handle: RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:771-777
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