Market risk analysis of the non-financial sectors in Malaysia
The objective of this study is to compare Value-at-Risk (VaR) numbers and behaviour patterns among non-financial sectors in Malaysia. The study applies the VaR full valuation approach namely the Monte Carlo Simulation (MCS) that are integrated with GARCH-based models as one of the parameter. The res...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | Non-Indexed Article |
| 在線閱讀: | http://discol.umk.edu.my/id/eprint/8101/ http://www.aaab.my/jaaab1/index_htm_files/03_Zatul%20et%20al_Market%20Risk%20Analysis%20of%20the%20Non-Financial%20Sectors%20in%20Malaysia.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 總結: | The objective of this study is to compare Value-at-Risk (VaR) numbers and behaviour patterns among non-financial sectors in Malaysia. The study applies the VaR full valuation approach namely the Monte Carlo Simulation (MCS) that are integrated with GARCH-based models as one of the parameter. The results indicate that the mining sector is most volatile while plantation sector has the lowest risk in most circumstances as both the holding period and confidence level increases. The study
also provides further evidences to existing literatures, which identify traditional economic sectors of a country, whether can generate the highest or the lowest level of risk. |
|---|