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The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange

Author

Listed:
  • Aktham I. Maghyereh

    (Department of Banking and Finance, Hashemite University)

  • Sadeg J. Abul

    (Central Bank of Kuwait, Kuwait)

Abstract

This paper analyzes the performance of several volatility models to forecast daily Value-at-Risk (VaR) of the Kuwait Stock Exchange (KSE). Particularly, the paper models VaR for long and short trading positions by using a collection of ARCH models (GARCH, EGARCH, GJR and APARCH) based on three distributional assumptions (normal, Student-t, and skewed Student-t). The results indicate that the skewed Student-t distribution APARCH model provides the more accurate approach to measure VaR in the KSE.

Suggested Citation

  • Aktham I. Maghyereh & Sadeg J. Abul, 2005. "The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 8(2), pages 194-209, Winter.
    • Handle: RePEc:ekn:ekonom:v:8:y:2005:i:2:p:194-209
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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