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Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market

Yıl 2014, Cilt: 4 Sayı: 4, 836 - 848, 01.12.2014

Öz

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

Yıl 2014, Cilt: 4 Sayı: 4, 836 - 848, 01.12.2014

Öz

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Ayrıntılar

Diğer ID JA68ZK86BV
Bölüm Araştırma Makalesi
Yazarlar

Mesut Balıbey Bu kişi benim

Serpil Turkyılmaz Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 4 Sayı: 4

Kaynak Göster

APA Balıbey, M., & Turkyılmaz, S. (2014). Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market. International Journal of Economics and Financial Issues, 4(4), 836-848.
AMA Balıbey M, Turkyılmaz S. Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market. IJEFI. Aralık 2014;4(4):836-848.
Chicago Balıbey, Mesut, ve Serpil Turkyılmaz. “Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market”. International Journal of Economics and Financial Issues 4, sy. 4 (Aralık 2014): 836-48.
EndNote Balıbey M, Turkyılmaz S (01 Aralık 2014) Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market. International Journal of Economics and Financial Issues 4 4 836–848.
IEEE M. Balıbey ve S. Turkyılmaz, “Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market”, IJEFI, c. 4, sy. 4, ss. 836–848, 2014.
ISNAD Balıbey, Mesut - Turkyılmaz, Serpil. “Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market”. International Journal of Economics and Financial Issues 4/4 (Aralık 2014), 836-848.
JAMA Balıbey M, Turkyılmaz S. Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market. IJEFI. 2014;4:836–848.
MLA Balıbey, Mesut ve Serpil Turkyılmaz. “Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market”. International Journal of Economics and Financial Issues, c. 4, sy. 4, 2014, ss. 836-48.
Vancouver Balıbey M, Turkyılmaz S. Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market. IJEFI. 2014;4(4):836-48.