The role of distribution and volatility specification in value at risk estimation: Evidence from the Johannesburg Stock Exchange
Given the volatile nature of global financial markets, managing as well as predicting financial risk plays an increasingly important role in banking and finance. The Value at Risk (VaR) measure has emerged as the most prominent measure of downside market risk. It is measured as the alpha quantile of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2012-10-01
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| Series: | Journal of Economic and Financial Sciences |
| Subjects: | |
| Online Access: | https://jefjournal.org.za/index.php/jef/article/view/297 |