TY  - JOUR
TT  - Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
AU  - Balıbey, Mesut
AU  - Turkyılmaz, Serpil
PY  - 2014
DA  - December
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 836
EP  - 848
VL  - 4
IS  - 4
KW  - Value-at-Risk
KW  - FIAPARCH Model
KW  - Long Memory
KW  - Volatility
N2  - Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this study, we examine the convenience of the FIGARCH (1, d, 1) and FIAPARCH (1, d, 1) models in evaluating asymmetry features and long memory in the volatility of the Turkish Stock Market. Furthermore, we investigate the performances in-sample and out-of-sample Value-at-Risk (VaR) analyses based on Kupiec-LR test by using FIGARCH(1, d, 1) and FIAPARCH (1, d, 1) models with the normal, student-t and skewed student-t distributions. For these analyses, we take into account both short and long trading positions. The empirical results display that the FIAPARCH (1, d, 1) model with skewed student-t distribution is more accurate for in-sample and out-of-sample Value-at-Risk (VaR) analysis for short and long trading positions. In addition, the FIAPARCH(1, d, 1) model with skewed student-t has better accuracy results in capturing stylized facts in the volatility of Turkish Stock Market. Consequently, evaluating of asymmetry and long memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk management in the Turkish financial markets. The findings can be evaluated by portfolio managers, investors, regulators and financial risk managers. Keyword: Value-at-Risk; FIAPARCH Model; Long Memory; Volatility. JEL Classifications: C13; C58; G10; G15; G17
UR  - https://dergipark.org.tr/tr/pub/ijefi/issue//352053
L1  - https://dergipark.org.tr/tr/download/article-file/362914
ER  -