EMPIRICAL ESTIMATION AND COMPARISON OF NORMAL AND STUDENT T LINEAR VaR ON THE BELGRADE STOCK EXCHANGE

Izdanje: Sinteza 2014 - Impact of the Internet on Business Activities in Serbia and Worldwide

DOI: 10.15308/sinteza-2014-298-302

Link: https://doi.org/10.15308/sinteza-2014-298-302

Apstrakt:
In this paper we describe theoretical and empirical linear VaR for the cases where the stock portfolio returns and the risk factor returns are generated by normal and Student t distribution. The main aim of this study is to show the effect that leptokurtosis has on VaR estimate. Using the daily Belex 15 data from January 2011 to January 2014 we estimate 1-day Normal and Student t VaR for different significance levels. The results show that for low significance levels, the normal assumption can overestimate VaR if the return distribution is leptokurtic. On the other hand, for higher significance levels, the normal assumption can seriously underestimate VaR. In the case of Serbian stock market the Student t distribution produce VaR estimates that are more representative of historical behavior of Belex 15 than normal linear VaR.
Ključne reči: Linear VaR, Serbian stock market, normal distribution, Student-t distribution, risk
Kategorije objave: Radovi na konferenciji Sinteza 2014, Beograd, Srbija Radovi sa konferencija

Preuzimanje citata:

BibTeX format 
@article{article,
  author  = {Z. Jeremić and I. Terzić}, 
  title   = {EMPIRICAL ESTIMATION AND COMPARISON OF NORMAL AND STUDENT T LINEAR VaR ON THE BELGRADE STOCK EXCHANGE},
  journal = {Sinteza 2014 - Impact of the Internet on Business Activities in Serbia and Worldwide},
  year    = 2014,
  doi     = {10.15308/sinteza-2014-298-302}
}
RefWorks Tagged format 
RT Conference Proceedings
A1 Zoran Jeremić
A1 Ivica Terzić
T1 EMPIRICAL ESTIMATION AND COMPARISON OF NORMAL AND STUDENT T LINEAR VaR ON THE BELGRADE STOCK EXCHANGE
AD Međunarodna naučna konferencija Sinteza, Beograd, Srbija
YR 2014
NO doi: 10.15308/sinteza-2014-298-302
Unapred formatirani prikaz citata
Z. Jeremić and I. Terzić, EMPIRICAL ESTIMATION AND COMPARISON OF NORMAL AND STUDENT T LINEAR VaR ON THE BELGRADE STOCK EXCHANGE, Međunarodna naučna konferencija Sinteza, 2014, doi:10.15308/sinteza-2014-298-302