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• W2050174028 abstract "This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns. Alternative VaR measurement such as non-parametric quantile estimate is implemented using interpolation method. In addition, we also used the well-known two components ARCH modelling technique under the assumptions of normality and heavy-tailed (student-t distribution) for the innovations. Our results evidenced that the predicted VaR under the Pareto distribution exhibited similar results with the symmetric heavy-tailed long-memory ARCH model. However, it is found that only the Pareto distribution is able to provide a convenient framework for asymmetric properties in both the lower and upper tails." @default.
• W2050174028 created "2016-06-24" @default.
• W2050174028 creator A5065621189 @default.
• W2050174028 date "2008-07-01" @default.
• W2050174028 modified "2023-10-02" @default.
• W2050174028 title "Heavy-tailed value-at-risk analysis for Malaysian stock exchange" @default.
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• W2050174028 doi "https://doi.org/10.1016/j.physa.2008.01.075" @default.
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