The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange
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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Volume (Year): 8 (2005)
Issue (Month): 2 (Winter)
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