Have a personal or library account? Click to login

An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange

Business Systems Research Journal
Volume 4 (2013): Issue 1 (March 2013)
By:
Open Access
|May 2013

References

  1. 1. Andjelić, G., Djaković, V., Radišić, S. (2010), “Application of VaR in Emerging markets: A Case of Selected Central and Eastern European Countries”, African Journal of Business Management, Vol. 4, No. 17, pp. 3666-3680.
    Search in Google Scholar
  2. 2. Angabini, A., Wasiuzzaman, S. (2011), “GARCH Models and the Financial Crisis-A Study of the Malaysian Stock Market”, The International Journal of Applied Economics and Finance, Vol. 5, No. 3, pp. 226-236. 10.3923/ijaef.2011.226.236
    Search in Google Scholar
  3. 3. Angelidis, T., Degiannakis, S. (2005), "Modeling Risk for Long and Short Trading Positions", The Journal of Risk Finance, Vol. 6, No. 3, pp. 226 - 238. 10.1108/15265940510599838
    Search in Google Scholar
  4. 4. Bae, K., Karolyi, G. A. (1994), “Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the U.S.”, Pacific-Basin Finance Journal, Vol. 2, No. 4, pp. 405-438. 10.1016/0927-538X(94)90003-5
    Search in Google Scholar
  5. 5. Balaban, E. (2002), “Comparative Forecasting Performance of Symmetric and Asymmetric Conditional Volatility Models of an Exchange Rate”, Working Paper, University of Edinburgh Center for Financial Markets Research, Edinburgh, pp. 1-14. 10.2139/ssrn.339521
    Search in Google Scholar
  6. 6. Bao, Y., Lee, T., Saltoglu, B. (2006), “Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check”, Journal of Forecasting, Vol. 25, No. 2, pp. 101-128. 10.1002/for.977
    Search in Google Scholar
  7. 7. Batten, J. A., Szilagyi, P. G. (2011), “The Impact of the Global Financial Crisis on Emerging Financial Markets: An Introduction”, in Batten, J. A., Szilagyi P. G. (eds.), The Impact of the Global Financial Crisis on Emerging Financial Markets (Contemporary Studies in Economic and Financial Analysis 93), Emerald Group Publishing Limited, Bingley, pp. 3-17.
    Search in Google Scholar
  8. 8. Bekaert, G., Harvey, C. R. (1995), “Time-Varying World Market Integration”, Journal of Finance, Vol. 50, No. 2, pp. 403-444. 10.1111/j.1540-6261.1995.tb04790.x
    Search in Google Scholar
  9. 9. Bekaert, G., Guojun, W. (2000), “Asymmetric Volatility and Risk in Equity Markets”, The Review of Financial Studies, Vol. 13, No. 1, pp. 1-42. 10.1093/rfs/13.1.1
    Search in Google Scholar
  10. 10. Benaković, D., Posedel, P. (2010), "Do Macroeconomic Factors Matter for Stock Returns? Evidence from Estimating a Multifactor Model on the Croatian Market", Business Systems Research Journal, Vol. 1, No.1-2, pp. 39-46. 10.2478/v10305-012-0023-z
    Search in Google Scholar
  11. 11. Berndt, E., Hall, B., Hall, R., Hausman, J. (1974), “Estimation and Inference in Nonlinear Structural Models”, Annals of Economic and Social Measurement, Vol. 3, pp. 653-665.
    Search in Google Scholar
  12. 12. Black, F. (1976), “Studies of Stock Price Volatility Changes”, in Proceeding of the 1976 Meetings of the Business and Economic Statistics Section, American Statistical Association, pp. 177-181.
    Search in Google Scholar
  13. 13. Braun, P. A., Nelson, D. B., Sunier, A. M. (1995), “Good News, Bad News, Volatility, and Betas”, Journal of Finance, Vol. 50, No. 5, pp. 1575-1603. 10.1111/j.1540-6261.1995.tb05189.x
    Search in Google Scholar
  14. 14. Bollerslev, T. (1987), “Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return”, Review of Economics and Statistics, Vol. 69, No. 3, pp. 542-547. 10.2307/1925546
    Search in Google Scholar
  15. 15. Brooks, C. (2008). Introductory Econometrics for Finance, 2nd ed., Cambridge, Cambridge University Press.
    Search in Google Scholar
  16. 16. Bollerslev, T., Chou, R. Y., Kroner, K. F. (1992), “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence”, Journal of Econometrics, Vol. 52, No. 1-2, pp. 5-59.
    Search in Google Scholar
  17. 17. Brooks, C., Persand G. (2000), “A Word of Caution on Calculating Market Based Minimum Capital Risk Requirements”, Journal of Banking and Finance, Vol. 24, No. 10, pp. 1557-1574. 10.1016/S0378-4266(99)00092-8
    Search in Google Scholar
  18. 18. Campbell, J. Y., Hentshel, L. (1992), “No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns”, Journal of Financial Economics, Vol. 31, No. 3, pp. 281-318. 10.1016/0304-405X(92)90037-X
    Search in Google Scholar
  19. 19. Cheung, Y., Ng, L. (1992), “Stock Price Dynamics and Firm Size: An Empirical Investigation”, Journal of Finance, Vol. 47, No. 5, pp. 1985-1997. 10.1111/j.1540-6261.1992.tb04693.x
    Search in Google Scholar
  20. 20. Christie, A. A. (1982), “The Stochastic Behavior of Common Stock Variances - Value, Leverage and Interest Rate Effects” , Journal of Financial Economics, Vol. 10, No. 4, pp. 407-432. 10.1016/0304-405X(82)90018-6
    Search in Google Scholar
  21. 21. Curto, J. D., Pinto, J. C., Tavares, G. N. (2009), “Modelling Stock Markets’ Volatility Using GARCH Models with Normal, Student’s t and Stable Paretian Distributions”, Statistical Papers, Vol. 50, No. 2, pp. 311-321. 10.1007/s00362-007-0080-5
    Search in Google Scholar
  22. 22. Da Silva, A., Beatriz, V., de Melo Mendes, B. (2003), “Value-at-Risk and Extreme Returns in Asian Stock markets”, International Journal of Business, Vol. 8, No. 1, pp. 17-40.
    Search in Google Scholar
  23. 23. Dimitrakopoulos, D. N., Kavussanos M. G. and Spyrou, S. I. (2010), “Value at Risk Models for Volatile Emerging Markets Equity Portfolios”, The Quarterly Review of Economics and Finance, Vol. 50, No. 4, pp. 515-526. 10.1016/j.qref.2010.06.006
    Search in Google Scholar
  24. 24. Ding, Z., Engle, R., Granger C. (1993), “A Long Memory Property of Stock Market Returns and A New Model”, Journal of Empirical Finance, Vol. 1, No. 1, pp. 83-106. 10.1016/0927-5398(93)90006-D
    Search in Google Scholar
  25. 25. Dufee, G. R. (1995), “Stock Returns and Volatility: A Firm Level Analysis”, Journal of Financial Economics, Vol. 37, No. 3, pp. 399-420. 10.1016/0304-405X(94)00801-7
    Search in Google Scholar
  26. 26. Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation”, Econometrica, Vol. 50, No. 4, pp. 987-1008. 10.2307/1912773
    Search in Google Scholar
  27. 27. Engle, R. F. (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives, Vol. 15, No. 4, pp. 157-168. 10.1257/jep.15.4.157
    Search in Google Scholar
  28. 28. Engle, R. F., Lilien, D. M., Robbins, R. P. (1987), “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model”, Econometrica, Vol. 55, No. 2, pp. 391-407. 10.2307/1913242
    Search in Google Scholar
  29. 29. Engle, R. F., Ng, V. K. (1993), “Measuring and Testing the Impact of News on Volatility”, Journal of Finance, Vol. 48, No. 5, pp. 1749-1778. 10.1111/j.1540-6261.1993.tb05127.x
    Search in Google Scholar
  30. 30. Franses, P. H., Van Dijk, D. (1996), “Forecasting Stock Market Volatility Using (Non-Linear) GARCH Models”, Journal of Forecasting, Vol. 15, No. 3, pp. 229-235. 10.1002/(SICI)1099-131X(199604)15:3<;229::AID-FOR620>3.0.CO;2-3
    Search in Google Scholar
  31. 31. French, K., Schwert, G., Stambaugh, R. (1987), “Expected Stock Returns and Volatility”, Journal of Financial Economics, Vol. 19, No. 1, pp. 3-29. 10.1016/0304-405X(87)90026-2
    Search in Google Scholar
  32. 32. Glosten, L. R., Jagannathan, R., Runkle, D. E. (1993), “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, Journal of Finance, Vol. 48, No. 5, pp. 1779-1801. 10.1111/j.1540-6261.1993.tb05128.x
    Search in Google Scholar
  33. 33. Gokcan, S. (2000), “Forecasting Volatility of Emerging Stock Markets: Linear Versus Non- Linear GARCH Models”, Journal of Forecasting, Vol. 19, No. 6, pp. 499-504. 10.1002/1099-131X(200011)19:6<;499::AID-FOR745>3.0.CO;2-P
    Search in Google Scholar
  34. 34. Hagerud, G. E. (1997), “Modelling Nordic Stock Returns with Asymmetric GARCH models”, Working Paper Series in Economics and Finance, Vol. 164, Stockholm School of Economics, Stockholm, pp. 1-26.
    Search in Google Scholar
  35. 35. Hien, M. T. T. (2008), “Modelling and Forecasting Volatility by GARCH-Type Models: The Case of Vietnam Stock Exchange”, A Dissertation Presented in Part Consideration for the Degree of MA. Finance and Investment, pp. 1-97, available at: http://edissertations.nottingham.ac.uk/2017/1/08MAlixhm7.pdf (9 April 2012).
    Search in Google Scholar
  36. 36. Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed., New York, McGraw-Hill.
    Search in Google Scholar
  37. 37. Kovacic, Z. (2007), “Forecasting Volatility: Evidence from the Macedonian Stock Exchange” Unpublished MPRA Paper No. 5319, pp. 1-44, available at: http://mpra.ub.unimuenchen. de/5319/1/MPRA_paper_5319.pdf (15 January 2012).
    Search in Google Scholar
  38. 38. Macedonian stock exchange, available at: http://www.mse.org.mk (5 December 2011).
    Search in Google Scholar
  39. 39. Magnusson, G., Andonov, S. (2002), “Basel Capital Adequacy Ratio and the Iceland Banking Sector: Quantitative Impact, Structural Changes and Optimality Considerations”, IOES Working Paper Series, W02:05, pp. 1-51, Institute of Economic Studies, Reykjavik, May 2002.
    Search in Google Scholar
  40. 40. Mandelbrot, B. (1963), “The Variation of Certain Speculative Prices”, Journal of Business, Vol. 36, No. 4, pp. 349-419.
    Search in Google Scholar
  41. 41. McMillan, D. G., Speight, A. E. H. (2007), “Value-at-Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric and Long-Memory GARCH Models”, International Review of Finance, Vol. 7, No. 1-2, pp. 1-19. 10.1111/j.1468-2443.2007.00065.x
    Search in Google Scholar
  42. 42. Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, Vol. 59, No. 2, pp. 347-370. 10.2307/2938260
    Search in Google Scholar
  43. 43. Ng, A. (2000), “Volatility Spillover Effects from Japan and the US to the Pacific-Basin”, Journal of Monetary Economics, Vol. 19, No. 2, pp. 207-233.
    Search in Google Scholar
  44. 44. Pagan, A. R., Schwert, G. W. (1990), “Alternative Models for Conditional Stock Volatility”, Journal of Econometrics, Vol. 45, No. 1-2, pp. 267-290. 10.1016/0304-4076(90)90101-X
    Search in Google Scholar
  45. 45. Parrondo, J. M. R. (1997), “Calculation of the Value at Risk in Emerging Markets”, Working Paper, Universidad Complutense de Madrid, Madrid, pp. 1-38.
    Search in Google Scholar
  46. 46. Poon, S., Granger, C. W. J. (2003), “Forecasting Volatility in Financial Markets, A Review”, Journal of Economic Literature, Vol. 41, No. 2, pp. 478-539. 10.1257/.41.2.478
    Search in Google Scholar
  47. 47. Schwert, G. W. (1990), “Stock Volatility and the Crash of ’87”, Review of Financial Studies, Vol. 3, No. 1, pp. 77-102. 10.1093/rfs/3.1.77
    Search in Google Scholar
  48. 48. Valentinyi-Endresz, M. (2004), “Structural Breaks and Financial Risk Management”, Magyar Nemzeti Bank, Working paper, No. 2004/11, Budapest, pp. 1-60,
    Search in Google Scholar
  49. 49. Vilasuso, J. (2002), “Forecasting Exchange Rate Volatility”, Economics Letters, Vol. 76, No. 1, pp. 59-64. 10.1016/S0165-1765(02)00036-8
    Search in Google Scholar
  50. 50. Zikovic, S. (2007), “Measuring Market Risk in EU New Member States”, available at: http://www.hnb.hr/dub-konf/13-konferencija/zivkovic.pdf (12 December 2011).
    Search in Google Scholar
  51. 51. Zikovic, S., Aktan, B. (2009), “Global Financial Crisis and VAR Performance in Emerging Markets: A Case of EU Candidate States - Turkey and Croatia”, Journal of Economics and Business - Proceedings of Rijeka Faculty of Economics, Vol. 27, No. 1, pp. 149-170.
    Search in Google Scholar
  52. 52. Zikovic, S., Bezic, H. (2006), “Is Historical Simulation Appropriate for Measuring Market Risk? A Case of Countries Candidates for EU accession”, in Proceedings of the CEDIMES conference, Ohrid, Macedonia, 23-27th March, pp. 1-20.
    Search in Google Scholar
  53. 53. Zikovic, S., Filler, R. K. (2009), “Hybrid Historical Simulation VAR and ES: Performance in Developed and Emerging Markets”, CESifo Working paper Series, No. 2820, pp. 1-39, available at: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WPCESifo_Working_Papers/wp-cesifo-2009/wp-cesifo-2009-10/cesifo1_wp2820.pdf (14 December 2011).
    Search in Google Scholar
DOI: https://doi.org/10.2478/bsrj-2013-0005 | Journal eISSN: 1847-9375 | Journal ISSN: 1847-8344
Journal RSS Feed
Language: English
Page range: 49 - 64
Published on: May 14, 2013
Published by: IRENET - Society for Advancing Innovation and Research in Economy
In partnership with: Paradigm Publishing Services
Publication frequency: 2 times per year
Keywords:
Value-at-Risk,
GARCH models,
forecasting volatility,
financial crisis,
Macedonia
Related subjects:
Business and economics,
Business management,
Management, organization, corporate governance,
Business management, other,
Mathematics and statistics for economists,
Mathematics

© 2013 Vesna Bucevska, published by IRENET - Society for Advancing Innovation and Research in Economy
This work is licensed under the Creative Commons License.

Previous articleVolume 4 (2013): Issue 1 (March 2013)Next article