文章基本信息
- 标题：Application of VaR Methodology to Risk Management in the Stock Market in Iran
- 本地全文：下载
- 作者：Mirfeiz Fallah Shams ; Zeinab Sheikhi ; Maryam Sheikhi 等
- 期刊名称：International Journal of Business and Management
- 印刷版ISSN：1833-3850
- 电子版ISSN：1833-8119
- 出版年度：2012
- 卷号：7
- 期号：1
- 页码：70
- DOI：10.5539/ijbm.v7n1p70
- 出版社：Canadian Center of Science and Education
- 摘要：
In this paper, the performance of RiskMetrics model for prediction of 1-day and 10-days value at risk were
preceded in three confidence levels of 95%, 97.5% and 99%.The main data are TEDPIX Index that their
fluctuations can be indicated market risk of Tehran Stock Exchange. Time series of this index has been applied
from 21 March 2001 to 20 March 2010 with the total 2172 observations. As well, for validation of models,
Kupiec test and Christoffersen test have been applied. The finding of this paper is that Risk Metrics model are
good alternatives in modeling volatility and in estimating VaR. Also the results indicate that in Kupiec test for
both periods, the accepting models number are equal, but in Christoffersen test, the results indicate that upon
increasing the time period, the accepting models number are decreased.
