Theoretical and Applied Economics
No. 4 / 2019 (621), Winter
GARCH based VaR estimation: An empirical evidence from BRICS stock markets
Sri Sathya Sai Institute of Higher Learning, India
Prabhakar RAO. R
Sri Sathya Sai Institute of Higher Learning, India
Abstract. This paper examines the adequacy of GARCH based VaR models in risk estimation for BRICS emerging stock markets. This study uses the daily data of stock indices in these markets for the period 25th September 1997 to 30th March 2018. Here we employ SGARCH, EGARCH and GJR-GARCH models to test volatility persistence and leverage effect of these markets. It is observed that the volatility persistence and leverage effect is present in all these markets. In GARCH estimation the error distribution - students t is found to be suitable for Brazil, Russia, India, and South Africa whereas GED for China. From the backtesting results of Kupiec and Christoffersen test, it is found that these models are appropriate for Brazil, Russia, India, and South Africa in risk estimation at 99% one day VaR.
Keywords: emerging markets, GARCH models, volatility and leverage, VaR estimation, backtesting.
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Contents
- Expanding the Eurozone. The stage of economic convergence
for Bulgaria, Czech Republic, Croatia, Hungary,
Poland and Romania
Iulian Nicolae VASILOIU
- Volatility experience of major world stock markets
M. MALLIKARJUNA
R. Prabhakara RAO
- Unemployment hysteresis analysis for OECD countries
Muhammed TIRAŞOĞLU
- Culture as a driving factor for foreign direct investments
in the Western Development Region of Romania
Norbert FÖLDI
- A Deep Neural Network (DNN) based classification model
in application to loan default prediction
Selçuk BAYRACI
Orkun SUSUZ
- The new Keynesian Phillips Curve.
Implications. Strengths and weaknesses
Rareș-Petru MIHALACHE
Dumitru Alexandru BODISLAV
- Corporate ownership structure and performance:
An enquiry into India
Pradiptarathi PANDA
Jinesh PANCHALI
- Turkey’s macroeconomic policy challenges
in the aftermath of the 2018 crisis:
A sectoral financial balances analysis
Sashi SIVRAMKRISHNA
Dhruva Teja NANDIPATI
- Main aspects on the nature of dynamic models
Constantin ANGHELACHE
Dana Luiza GRIGORESCU
Oana BÎRSAN
- An analyses model
of the Romanian privately managed pension system
Dragoș Alexandru HAȘEGAN
- Dynamic models used in analysis capital and population
Mădălina-Gabriela ANGHEL
Ștefan Virgil IACOB
Gabriel-Ștefan DUMBRAVĂ
Marius POPOVICI
- Poverty rate determinants
in the Central and Eastern Europe member states
Maria-Daniela TUDORACHE
- Wagner versus Keynesian Hypothesis:
Role of aggregate and disaggregate expenditure in Pakistan
Kashif MUNIR
Wajid ALI
- GARCH based VaR estimation:
An empirical evidence from BRICS stock markets
Siva Kiran GUPTHA. K
Prabhakar RAO. R
- Does FDI substitute exports of home country?
A case of US FDI in select Asian economies
Ketan C. LIMAYE
Achut P. PEDNEKAR
- Exploring the role of institutions
in cross country Malmquist productivity analysis:
A two-stage double bootstrap DEA approach
Danish Ahmed SIDDIQUI
Qazi Masood AHMED
- The validity of Okun’s Law:
Evidences from Indian economy
Tariq Ahmad BHAT
Tariq Ahmad LONE
Towseef Mohi Ud DIN
