Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
권호 표지

An Estimation of VaR in Stock Markets Using Transformations

  • Yeo, In-Kwon (Division of Mathematics & Statistics, Sookmyung Women's University) ;
  • Jeong, Choo-Mi (Division of Mathematics & Statistical Informations, Chonbuk National University)
  • Published : 2005.08.31
Download PDF
⟨ Previous Next ⟩

Abstract

It is usually assumed that asset returns in the stock market are normally distributed. However, analyses of real data show that the distribution tends to be skewed and to have heavier tails than those of the normal distribution. In this paper, we investigate the method of estimating the value at risk(VaR) of stock returns. The VaR is computed by using the transformation and back-transformation method. The analysis of KOSPI and KOSDAQ data shows that the proposed estimation outperformed that under the normal assumption.

Keywords

References

  1. 위험관리론 김진호;오세경;이건호
  2. Journal of Econometrics v.31 Generalized Autoregressive Conditional Heteroskedasticity Bollerslev, T.
  3. Journal of Royal Statistical Society, series B v.26 An Analysis of Transformations Box, G.E.P.;Cox, C.R.
  4. Econometrica v.50 Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation Engle, R.F.
  5. Journal of Business v.38 The Behavior of Stock Market Prices Fama, E.F.
  6. Applied Statistics v.29 An Alternative Family of Transformations John, J.A.;Draper, N.R.
  7. Biometrika v.36 System of Frequency Curves Generated by Methods of Translation Johnson, N.L.
  8. The Journal of Derivatives v.2 Techniques for Verifying the Accuracy of Risk Measurement Models Kupiec, P.
  9. Value at Risk Based on the Volatility Skewness and Kurtosis Li, D.
  10. Financial Applications of Stable distributions in Statistical Methods in Finance;Handbook of Statistics, vol. 14 McCulloch, J.H.
  11. Probability Distribution for Financial Models;Handbook of Statistics, vol. 14 McDonald, J.B.;Madalla(ed.);Rao(ed.)
  12. Economics Letters v.79 The generalized extreme value distribution Turan, G.B.
  13. Convex Transformations of Random Variables van Zwet, W.R.
  14. Biometrika v.87 A new family of power to improve normality or symmetry Yeo, I.K.;Johnson, R.A.
  15. RiskMetrics Monitor no.2nd quarter An Improved Methodology for Measuring VaR Zangari, P.