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http://dx.doi.org/10.5351/KJAS.2015.28.3.541

Performance Analysis of Volatility Models for Estimating Portfolio Value at Risk  

Yeo, Sung Chil (Department of Applied Statistics, Konkuk University)
Li, Zhaojing (Department of Applied Statistics, Konkuk University)
Publication Information
The Korean Journal of Applied Statistics / v.28, no.3, 2015 , pp. 541-559 More about this Journal
Abstract
VaR is now widely used as an important tool to evaluate and manage financial risks. In particular, it is important to select an appropriate volatility model for the rate of return of financial assets. In this study, both univariate and multivariate models are considered to evaluate VaR of the portfolio composed of KOSPI, Hang-Seng, Nikkei indexes, and their performances are compared through back testing techniques. Overall, multivariate models are shown to be more appropriate than univariate models to estimate the portfolio VaR, in particular DCC and ADCC models are shown to be more superior than others.
Keywords
Value at Risk; portfolio return; univariate and multivariate volatility models; back testing;
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Times Cited By KSCI : 2  (Citation Analysis)
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