Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH)
During last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide better measurement techniques and hedging tools....
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Isfahan
2018-12-01
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| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_23282_596e923c6b897276e225913211120daa.pdf |
| _version_ | 1819103784128741376 |
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| author | Hassan Karnameh haghighi Ali Rostami |
| author_facet | Hassan Karnameh haghighi Ali Rostami |
| author_sort | Hassan Karnameh haghighi |
| collection | DOAJ |
| description | During last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide better measurement techniques and hedging tools. Value-at-Risk (VaR) is the most popular risk measure in the financial industry. In this paper Application Extreme Value Theory and long-memory to Stock Market in Iran (In Framework Model-GARCH) was Checked. We use same long-range memory GARCH-type models (FIAGARCH, HYGARCH and FIAPARCH) and EVT to forecast the financial market risk. Findings Indicated that The FIAPARCH-EVT approach performs better in predicting the one day ahead VaRs for different series studied. |
| first_indexed | 2024-12-22T01:55:57Z |
| format | Article |
| id | doaj.art-efe10f2dfb554a58b3dab4a5b135343c |
| institution | Directory Open Access Journal |
| issn | 2383-1189 2383-1189 |
| language | fas |
| last_indexed | 2024-12-22T01:55:57Z |
| publishDate | 2018-12-01 |
| publisher | University of Isfahan |
| record_format | Article |
| series | Journal of Asset Management and Financing |
| spelling | doaj.art-efe10f2dfb554a58b3dab4a5b135343c2022-12-21T18:42:47ZfasUniversity of IsfahanJournal of Asset Management and Financing2383-11892383-11892018-12-016413515410.22108/amf.2018.102325.105323282Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH)Hassan Karnameh haghighi0Ali Rostami1Sheikhbahaee University, Isfahan, IranSheikhbahaee University, Isfahan, IranDuring last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide better measurement techniques and hedging tools. Value-at-Risk (VaR) is the most popular risk measure in the financial industry. In this paper Application Extreme Value Theory and long-memory to Stock Market in Iran (In Framework Model-GARCH) was Checked. We use same long-range memory GARCH-type models (FIAGARCH, HYGARCH and FIAPARCH) and EVT to forecast the financial market risk. Findings Indicated that The FIAPARCH-EVT approach performs better in predicting the one day ahead VaRs for different series studied.https://amf.ui.ac.ir/article_23282_596e923c6b897276e225913211120daa.pdfextreme value theorylong range-memoryvalue-at-riskgarch |
| spellingShingle | Hassan Karnameh haghighi Ali Rostami Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH) Journal of Asset Management and Financing extreme value theory long range-memory value-at-risk garch |
| title | Application Extreme Value Theory and long-Memory to Stock Market in Iran
(In Framework Model-GARCH) |
| title_full | Application Extreme Value Theory and long-Memory to Stock Market in Iran
(In Framework Model-GARCH) |
| title_fullStr | Application Extreme Value Theory and long-Memory to Stock Market in Iran
(In Framework Model-GARCH) |
| title_full_unstemmed | Application Extreme Value Theory and long-Memory to Stock Market in Iran
(In Framework Model-GARCH) |
| title_short | Application Extreme Value Theory and long-Memory to Stock Market in Iran
(In Framework Model-GARCH) |
| title_sort | application extreme value theory and long memory to stock market in iran in framework model garch |
| topic | extreme value theory long range-memory value-at-risk garch |
| url | https://amf.ui.ac.ir/article_23282_596e923c6b897276e225913211120daa.pdf |
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