Assessing the risk forecasts for Japanese stock market


Lee T., Saltoglu B.

JAPAN AND THE WORLD ECONOMY, cilt.14, sa.1, ss.63-85, 2002 (SSCI İndekslerine Giren Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 14 Konu: 1
  • Basım Tarihi: 2002
  • Doi Numarası: 10.1016/s0922-1425(01)00080-9
  • Dergi Adı: JAPAN AND THE WORLD ECONOMY
  • Sayfa Sayıları: ss.63-85

Özet

We evaluate predictive performance of a selection of value-at-risk (VaR) models for Japanese stock market data. We consider traditional VaR models such as Riskmetrics method, historical simulation, variance-covariance method, Monte Carlo method, and their variants which are integrated with various ARCH models. Also considered are more recent models based on non-parametric quantile regression and extreme value theory (EVT). We apply these methods to the Japanese stock market index (1984-2000) and compare their performances in terms of various evaluation criteria using the method of White [Econometrica 68 (5) (2000) 1097-1126] for three out-of-sample periods of 19951996, 1997-1998, and 1999-2000. (C) 2002 Elsevier Science B.V. All rights reserved.