风险价值预测绩效:MILA和东盟五国股票市场的CaViaR和GARCH模型的比较

Ramona Serrano Bautista, José Antonio Núñez Mora
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引用次数: 2

摘要

目的本文检验了市场一体化拉丁美洲(MILA)和东南亚国家联盟(ASEAN)新兴股票市场在危机时期的风险价值(VaR)预测模型的准确性。设计/方法/方法文献中提出了许多VaR估计模型。本文使用广义自回归条件异方差、EGARCH和GJR-GARCH模型在正态、偏态-正态、学生-t和偏态-学生-t分布假设下估计VaR,并与考虑Engle和Manganelli(2004)提出的四种替代规范的条件自回归风险值(CaViaR)的预测性能进行比较。研究结果支持了CaViaR模型在预测MILA和东盟五国新兴股市危机时期的样本外VaR时的稳健性。这一证据是基于回溯测试方法的结果,该方法根据模型的准确性分析了模型的预测性能。市场风险中的一个重要问题是对风险的不准确估计,因为不同的VaR模型导致不同的风险度量,这意味着还没有一种适用于所有情况和市场的公认方法。特别是,量化和预测MILA和东盟五国股票市场的风险对于评估全球市场风险至关重要,因为MILA是拉丁美洲最大的证券交易所,东盟地区占2014年全球外国直接投资流入总额的11%。此外,根据亚洲开发银行(Asian Development Bank)的数据,预计到2025年,该地区的年均增长率将达到7%。
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Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
PurposeThis paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods.Design/methodology/approachMany VaR estimation models have been presented in the literature. In this paper, the VaR is estimated using the Generalized Autoregressive Conditional Heteroskedasticity, EGARCH and GJR-GARCH models under normal, skewed-normal, Student-t and skewed-Student-t distributional assumptions and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR) considering the four alternative specifications proposed by Engle and Manganelli (2004).FindingsThe results support the robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods. This evidence is based on the results of the backtesting approach that analyzed the predictive performance of the models according to their accuracy.Originality/valueAn important issue in market risk is the inaccurate estimation of risk since different VaR models lead to different risk measures, which means that there is not yet an accepted method for all situations and markets. In particular, quantifying and forecasting the risk for the MILA and ASEAN-5 stock markets is crucial for evaluating global market risk since the MILA is the biggest stock exchange in Latin America and the ASEAN region accounted for 11% of the total global foreign direct investment inflows in 2014. Furthermore, according to the Asian Development Bank, this region is projected to average 7% annual growth by 2025.
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来源期刊
Journal of Economics, Finance and Administrative Science
Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
5.10
自引率
20.80%
发文量
23
审稿时长
12 weeks
期刊介绍: The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.
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