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- W2188063518 abstract "This paper aims to estimate and test the Value at Risk (VaR) of portfolio i.e. Khartoum Stock Exchange (KSE) index via variance methods, historical simulation and quantile method for the period 2005-2011. The main results are: KAE index is stastionarity, not normally distributed, and 0.44 of the total returns are negative indicating losses. Only the empirical quantile have passed the back-testing procedure. Historical simulation, generalizes autoregressive heteroscedasticity (GRCH(1,1) and RiskMetrics underestimate the risk, while the generalized formula overestimates the risk." @default.
- W2188063518 created "2016-06-24" @default.
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- W2188063518 date "2014-01-01" @default.
- W2188063518 modified "2023-09-27" @default.
- W2188063518 title "ESTIMATING AND TESTING THE VALUE AT RISK MODELS: AN EMPIRICAL EVIDENCE FROM KHARTOUM STOCK EXCHANGE SUDAN" @default.
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