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A Gourmet's delight: CAViaR and the Australian stock market


  • D. E. Allen
  • A. K. Singh
  • R. Powell


Value at Risk (VaR) is the metric adopted by the Basel Accords for banking industry internal control and regulatory reporting. This has focused attention on the measuring, estimating and forecasting of lower tail risk. Engle and Manganelli (2004) developed the conditional autoregressive value at risk (CAViaR) model using quantile regression to calculate VaR. In this article we apply their model to Australian stock market indices and a sample of stocks, and test the efficacy of four different specifications of the model in a set of in-sample and out-of-sample tests. We also contrast the results with those obtained from a Generalized Autoregressive Conditional Heteroskedastic (GARCH(1,1)) model, the RiskMetrics™ model (Morgan, 1996) and an Asymmetric Power Autoregressive Conditional Heteroskedastic (APARCH) model.

Suggested Citation

  • D. E. Allen & A. K. Singh & R. Powell, 2012. "A Gourmet's delight: CAViaR and the Australian stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 19(15), pages 1493-1498, October.
  • Handle: RePEc:taf:apeclt:v:19:y:2012:i:15:p:1493-1498 DOI: 10.1080/13504851.2011.636017

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    References listed on IDEAS

    1. Budría, Santiago & Moro-Egido, Ana I., 2008. "Education, educational mismatch, and wage inequality: Evidence for Spain," Economics of Education Review, Elsevier, vol. 27(3), pages 332-341, June.
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    4. Kostas Mavromaras & Seamus Mcguinness & Yin King Fok, 2009. "Assessing the Incidence and Wage Effects of Overskilling in the Australian Labour Market," The Economic Record, The Economic Society of Australia, vol. 85(268), pages 60-72, March.
    5. McGuinness, Seamus & Sloane, Peter J., 2011. "Labour market mismatch among UK graduates: An analysis using REFLEX data," Economics of Education Review, Elsevier, vol. 30(1), pages 130-145, February.
    6. Francis Green & Steven McIntosh, 2007. "Is there a genuine under-utilization of skills amongst the over-qualified?," Applied Economics, Taylor & Francis Journals, vol. 39(4), pages 427-439.
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