Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis
This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. In addition, we adopt four different mean equations which are ARMA(1,1), AR(1), MA(1), and “in-mean” to find out a more ap...
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| Format: | Article |
| Language: | English |
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EconJournals
2015-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/1070 |
| _version_ | 1797911705868566528 |
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| author | Han Ching Huang Yong-Chern Su Jen-Tien Tsui |
| author_facet | Han Ching Huang Yong-Chern Su Jen-Tien Tsui |
| author_sort | Han Ching Huang |
| collection | DOAJ |
| description |
This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. In addition, we adopt four different mean equations which are ARMA(1,1), AR(1), MA(1), and “in-mean” to find out a more appropriate GARCH method in estimating VaR of MSCI World Index in financial crisis. We pick up 900 daily information of MSCI World Index from 2006 to 2009.We find that GARCHM(1,1) in mean, MA-GARCHM(1,1), AR(1)-T-GARCHM(1,1), and ARMA(1,1)-T-GARCHM(1,1) outperform other models in terms of number of violations. ARMA(1,1)-T-GARCHM(1,1) performs the best in terms of mean violation range, mean violation percentage, aggregate violation range, aggregate violation percentage, and max violation range. Other than T-GARCH models, number of violations decrease by using in-mean or MA(1) mean equation. Generally speaking, the better the performance in terms of violation, the larger the capital requirement is needed.
Keywords: market risk; value-at-risk; GARCH; MSCI; financial crisis
JEL Classification: G2; G21
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| first_indexed | 2024-04-10T11:44:58Z |
| format | Article |
| id | doaj.art-4aa99b3868e64906997776e361403da6 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:44:58Z |
| publishDate | 2015-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-4aa99b3868e64906997776e361403da62023-02-15T16:17:22ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382015-04-0152Asymmetric GARCH Value-at-Risk over MSCI in Financial CrisisHan Ching Huang0Yong-Chern SuJen-Tien TsuiChung Yuan Christian University This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. In addition, we adopt four different mean equations which are ARMA(1,1), AR(1), MA(1), and “in-mean” to find out a more appropriate GARCH method in estimating VaR of MSCI World Index in financial crisis. We pick up 900 daily information of MSCI World Index from 2006 to 2009.We find that GARCHM(1,1) in mean, MA-GARCHM(1,1), AR(1)-T-GARCHM(1,1), and ARMA(1,1)-T-GARCHM(1,1) outperform other models in terms of number of violations. ARMA(1,1)-T-GARCHM(1,1) performs the best in terms of mean violation range, mean violation percentage, aggregate violation range, aggregate violation percentage, and max violation range. Other than T-GARCH models, number of violations decrease by using in-mean or MA(1) mean equation. Generally speaking, the better the performance in terms of violation, the larger the capital requirement is needed. Keywords: market risk; value-at-risk; GARCH; MSCI; financial crisis JEL Classification: G2; G21 https://econjournals.com/index.php/ijefi/article/view/1070 |
| spellingShingle | Han Ching Huang Yong-Chern Su Jen-Tien Tsui Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis International Journal of Economics and Financial Issues |
| title | Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis |
| title_full | Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis |
| title_fullStr | Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis |
| title_full_unstemmed | Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis |
| title_short | Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis |
| title_sort | asymmetric garch value at risk over msci in financial crisis |
| url | https://econjournals.com/index.php/ijefi/article/view/1070 |
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