Evaluating South Africa’s market risk using asymmetric power auto-regressive conditional heteroscedastic model under heavy-tailed distributions
Orientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that best captures all properties of stock returns is of gre...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2019-10-01
|
| Series: | Journal of Economic and Financial Sciences |
| Subjects: | |
| Online Access: | https://jefjournal.org.za/index.php/jef/article/view/475 |