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Forecasting Value-at-Risk (VaR) in the Major Asian Economies
Indian Institute of Management, Kashipur, India
Indian Institute of Management, Kashipur, India
- 1 Indian Institute of Management, Kashipur, India
- 2 Indian Institute of Management, Kashipur, India
Theoretical Economics Letters·Volume 08 (2018)·Pages 1565–1581·Published 11 June 2018·DOI10.4236/tel.2018.89100
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Abstract
This is an empirical study of forecasting Value-at-Risk (VaR) in the major Asian economies. The VaR is first forecasted for Singapore, Malaysia, Hong Kong of China, Indonesia, South Korea, Philippines, Thailand, China, Taiwan of China and India using different competing models. The VaR estimates are then backtested using unconditional coverage test, conditional coverage test and loss function to arrive at the best VaR model for each of the economies. The results are mixed with the highest success rate of FIGARCH model. Also, the appropriateness of the models changes across quantiles and between tails.
KeywordsValue-at-RiskAsian EconomiesBacktestingVolatility Prediction
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