Abstract
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 language | English |
|---|---|
| Pages (from-to) | 29-42 |
| Number of pages | 14 |
| Journal | Journal of Risk Finance |
| Volume | 4 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2003 |
Keywords
- Stock index
- Minimum Capital Risk Requirements
- Internal Risk Management Models
- Value at risk
- asymmetries
- multivariate GARCH
- semi-variance