Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model

• Main Authors: Chin, Wen Cheong, Zaidi Isa,, Abu Hassan Shaari Mohd Nor,
• Format: Article
• Language: English
• Published: Universiti Kebangsaan Malaysia 2009
• Online Access: http://journalarticle.ukm.my/40/1/; http://journalarticle.ukm.my/40/; http://www.ukm.my/~jsm/kandungan.html

This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme-value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. The empirical results evidence the EVT-bas...