The effect of asymmetries on stock index return value-at-risk estimates

Chris Brooks, Gitanjali Persand

Research output: Contribution to journalArticle (Academic Journal)peer-review

55 Citations (Scopus)


It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.
Original languageEnglish
Pages (from-to)29-42
Number of pages14
JournalJournal of Risk Finance
Issue number2
Publication statusPublished - 2003


  • Stock index
  • Minimum Capital Risk Requirements
  • Internal Risk Management Models
  • Value at risk
  • asymmetries
  • multivariate GARCH
  • semi-variance


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