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The Stylized Facts Of Asset Returns And Their Impact On Value-At-Risk Models

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  • IORGULESCU Filip

Abstract

This paper aims to explore the most important stylized facts of asset returns and their impact on the development of Value-at-Risk models. The analysis was performed on the daily returns of the BET index and of four stocks, traded at Bucharest Stock Exchange, and covered a period of five years between 2006 and 2011. The results proved that, despite being researched for a long time, stylized facts continue to be relevant even in the context of the Romanian capital market. Furthermore, financial institutions should take them into account very seriously when estimating Value-at-Risk.

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  • IORGULESCU Filip, 2012. "The Stylized Facts Of Asset Returns And Their Impact On Value-At-Risk Models," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 0(4), pages 360-368.
    • Handle: RePEc:blg:reveco:v:supplement:y:2012:i:4:p:360-368
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