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Estimation of value at risk for financial returns of pakistan using archimedean copula

Author

Listed:
  • Faisal Nawaz

    (COMSATS Institute of Information Technology, Attock)

  • Abdul Qayyum

    (Pakistan Institute of Development Economics, Islamabad)

Abstract

In this paper we use high-frequency multivariate data and attempt to model the joint distribution (dependence structure) of daily KSE-100 returns, S&P 500 and SSE 180 index. We compute portfolio Value at Risk (VaR) using Archimedean copula for three multivariate models, which were used to model the dependence structure of the three stock returns. We also compare the performances of these multivariate models based on the goodness of in-sample fit as well as backtesting of VaR results.

Suggested Citation

  • Faisal Nawaz & Abdul Qayyum, 2012. "Estimation of value at risk for financial returns of pakistan using archimedean copula," Economics Bulletin, AccessEcon, vol. 32(3), pages 1-26.
    • Handle: RePEc:ebl:ecbull:eb-12-00578
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    More about this item

    Keywords

    Financial Econometrics; Copula; Value at Risk;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets

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