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Are Range Based Models Good Enough? Evidence from Seven Stock Markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Dockery, Everton Efentakis, Miltiadis Al-Faryan, Mamdouh Abdulaziz Saleh |
| Copyright Year | 2018 |
| Abstract | How to cite this paper: Dockery, E., Efentakis, M., & Al-Faryan, M. A. S. (2018). Are range based models good enough? Evidence from seven stock markets. Risk Governance and Control: Financial Markets & Institutions, 8(2), 7-40. http://doi.org/10.22495/rgcv8i2p1 Copyright © 2018 The Authors This work is licensed under the Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0). http://creativecommons.org/licenses/b y-nc/4.0/ ISSN Online: 2077-4303 ISSN Print: 2077-429X Received: 17.03.2018 Accepted: 02.05.2018 JEL Classification: C53, G15 DOI: 10.22495/rgcv8i2p1 We study the performance of range-based models over varying market conditions and compare their performance against a set of alterative risk measurement models, including the more widely used techniques in practice for measuring the Value-at-Risk (VaR) of seven financial market indices. In particular, we focus on model accuracy in estimated VaRs over quiet and volatile moments utilizing loss functions and likelihood ratio tests for coverage probability. The empirical estimates based on these two criteria find that the range based-model of Yang and Zhang (2000) shows some success in estimated VaR risk measure, especially during quiet periods, than is the case for the other range based models considered. Also, we find that the EWMA and RiskMetrics models have an inconsistent marginal edge over the widely used GARCH and historical simulation specifications and that there is validity in the use of the EWMA and RiskMetrics models over range-based approaches as both capture and thus provide more accurate estimated VaR risk measure of market risk. |
| Starting Page | 7 |
| Ending Page | 40 |
| Page Count | 34 |
| File Format | PDF HTM / HTML |
| DOI | 10.22495/rgcv8i2p1 |
| Volume Number | 8 |
| Alternate Webpage(s) | https://virtusinterpress.org/IMG/pdf/rgcv8i2p1.pdf |
| Alternate Webpage(s) | https://doi.org/10.22495/rgcv8i2p1 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
