Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models
This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive Condition...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-05-01
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| Series: | Administrative Sciences |
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| Online Access: | https://www.mdpi.com/2076-3387/9/2/40 |
| _version_ | 1818038578402295808 |
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| author | Hamed Tabasi Vahidreza Yousefi Jolanta Tamošaitienė Foroogh Ghasemi |
| author_facet | Hamed Tabasi Vahidreza Yousefi Jolanta Tamošaitienė Foroogh Ghasemi |
| author_sort | Hamed Tabasi |
| collection | DOAJ |
| description | This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models were used to model the volatility-clustering feature, and to estimate the parameters of the model, the Maximum Likelihood method was applied. The results of the study showed that in the estimation of model parameters, assuming T-student distribution function gave better results than the Normal distribution function. The Monte Carlo simulation method was used for backtesting the Conditional Value at Risk model, and in the end, the performance of different models, in the estimation of this measure, was compared. |
| first_indexed | 2024-12-10T07:44:58Z |
| format | Article |
| id | doaj.art-ac41ffb7f1c34f29bac3e0e6ca8a9ff7 |
| institution | Directory Open Access Journal |
| issn | 2076-3387 |
| language | English |
| last_indexed | 2024-12-10T07:44:58Z |
| publishDate | 2019-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Administrative Sciences |
| spelling | doaj.art-ac41ffb7f1c34f29bac3e0e6ca8a9ff72022-12-22T01:57:12ZengMDPI AGAdministrative Sciences2076-33872019-05-01924010.3390/admsci9020040admsci9020040Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH ModelsHamed Tabasi0Vahidreza Yousefi1Jolanta Tamošaitienė2Foroogh Ghasemi3Department of Chemical Engineering, University of Tehran, Tehran 1417614418, IranConstruction and Project Management, University of Tehran, Tehran 1417614418, IranInstitute of Sustainable Construction, Faculty of Civil Engineering, Vilnius Gediminas Technical University, Sauletekio Ave. 11, Vilnius LT-10223, LithuaniaProject and Construction Management, University of Art, Tehran 1136813518, IranThis paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models were used to model the volatility-clustering feature, and to estimate the parameters of the model, the Maximum Likelihood method was applied. The results of the study showed that in the estimation of model parameters, assuming T-student distribution function gave better results than the Normal distribution function. The Monte Carlo simulation method was used for backtesting the Conditional Value at Risk model, and in the end, the performance of different models, in the estimation of this measure, was compared.https://www.mdpi.com/2076-3387/9/2/40conditional value at riskextreme value theoryGARCH modelsbacktesting modelsmaximum likelihood method |
| spellingShingle | Hamed Tabasi Vahidreza Yousefi Jolanta Tamošaitienė Foroogh Ghasemi Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models Administrative Sciences conditional value at risk extreme value theory GARCH models backtesting models maximum likelihood method |
| title | Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models |
| title_full | Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models |
| title_fullStr | Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models |
| title_full_unstemmed | Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models |
| title_short | Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models |
| title_sort | estimating conditional value at risk in the tehran stock exchange based on the extreme value theory using garch models |
| topic | conditional value at risk extreme value theory GARCH models backtesting models maximum likelihood method |
| url | https://www.mdpi.com/2076-3387/9/2/40 |
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