Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that...

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Bibliographic Details
Main Authors: Paul Bui Quang, Tony Klein, Nam H. Nguyen, Thomas Walther
Format: Article
Language:English
Published: MDPI AG 2018-04-01
Series:Journal of Risk and Financial Management
Subjects:
ASEAN
GARCH
stochastic volatility
Value-at-Risk
Online Access:http://www.mdpi.com/1911-8074/11/2/18

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