Using Conditional Copula to Estimate Value-at-Risk in Vietnam's Foreign Exchange Market
نویسندگان
چکیده
In this paper, we briefly review the basics of copula theory and the problem of estimating Value at Risk (VaR) of portfolio composed by several assets. We present two VaR estimation models in which each return series is assumed to follow AR(1)-GARCH(1, 1) model and the innovations are simultaneously generated using Gaussian copula and Student t copula. The presented models are applied to estimate VaR of a portfolio consisting of 6 currencies to VND. The results are compared with results from two VaR estimation models using AR(1)GARCH(1, 1) model and the innovations are separately generated using univariate standard normal and Student t distribution.
منابع مشابه
Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market
This paper examines the hedging effectiveness of gold futures for the stock market in minimizing variance and downside risks, including value at risk and expected shortfall using data from the Iran emerging capital market during four different sub-periods from December 2008 to August 2018. We employ dynamic conditional correlation models including VARMA-BGARCH (DCC, ADCC, BEKK, and ABEKK) and c...
متن کاملDeveloping Non-linear Dynamic Model to Estimate Value at Risk, Considering the Effects of Asymmetric News: Evidence from Tehran Stock Exchange
Empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. That is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of VaR. Copula theo...
متن کاملForeign exchange market Movements and investment risk in the petrochemical industry
In this investigation, by the time series data of exchange rate and petrochemical industry stock index in the Tehran Stock Market from March 2009 to April 2019, a new Hybrid Model (resulting from the use of Exponential Generalized Autoregressive Conditional Heteroscedasticity, EGARCH, Model and Markov Switching Regime Model) is used. The results of study, in addition to confirming the idea of ...
متن کاملOptimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures
This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very complex for a portfolio with high number of assets. For t...
متن کاملGJR-Copula-CVaR Model for Portfolio Optimization: Evidence for Emerging Stock Markets
Abstract T his paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to determine the structure of dependence. Finally, the impact of the dep...
متن کامل