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https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/8455
Title: | A Test of Alternative Value-At-Risk Models During Volatile Periods |
Authors: | Aparna Prasad Bhat |
Issue Date: | 2015 |
Publisher: | Indian Journal of Finance |
Abstract: | This paper compared the performance of alternative models for estimating Value at Risk (VaR) of four different currencies against the Indian rupee. I examined whether incorporating a volatility estimate capturing the ARCH effects in the normal linear VaR model yielded a better estimate of market risk than the traditional models based on historical simulation and historical moving average volatility. I tested the effectiveness of different VaR models during the volatile period of June-September 2013 and found that VaR models based on an estimate of time-varying volatility performed better than traditional models during turbulent times. |
URI: | http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/8455 |
Appears in Collections: | Articles to be qced |
Files in This Item:
File | Size | Format | |
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A Test of Alternative Value-at-Risk Models.pdf Restricted Access | 4.08 MB | Adobe PDF | View/Open Request a copy |
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