IDEAS home Printed from https://ideas.repec.org/h/eme/csefzz/s1569-3759(2011)0000093015.html
   My bibliography  Save this book chapter

How Long Memory in Volatility Affects Market Risk Estimation

In: The Impact of the Global Financial Crisis on Emerging Financial Markets

Author

Listed:
  • Khaled Mokni
  • Faysal Mansouri

Abstract

In this chapter, we investigate the effect of long memory in volatility on the accuracy of emerging stock markets risk estimation during the period of the recent global financial crisis. For this purpose, we use a short (GJR-GARCH) and long (FIAPARCH) memory volatility models to compute in-sample and out-of-sample one-day-ahead VaR. Using six emerging stock markets index, we show that taking into account the long memory property in volatility modelling generally provides a more accurate VaR estimation and prediction. Therefore, conservative risk managers may adopt long memory models using GARCH-type models to assess the emerging market risks, especially when incorporating crisis periods.

Suggested Citation

  • Khaled Mokni & Faysal Mansouri, 2011. "How Long Memory in Volatility Affects Market Risk Estimation," Contemporary Studies in Economic and Financial Analysis, in: The Impact of the Global Financial Crisis on Emerging Financial Markets, pages 423-447, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:csefzz:s1569-3759(2011)0000093015
    DOI: 10.1108/S1569-3759(2011)0000093015
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1569-3759(2011)0000093015/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1569-3759(2011)0000093015/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1569-3759(2011)0000093015/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S1569-3759(2011)0000093015
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/S1569-3759(2011)0000093015?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:csefzz:s1569-3759(2011)0000093015. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.