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Evaluating Market Risk Assessment through VAR Approach before and after Financial Crisis in Tehran Stock Exchange Market (TSEM)
Company: Journal of Management and Sustainability
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: May
Resource Link: Click here to open
Pages: 134-146
Download Count: 0
View Count: 1228
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 5-31-2014
Publisher: Administrator
Summary
The goal of the present research is to evaluate the performance of 4 models of assessing value at risk, namely Simple VaR, Risk Metric VaR, GARCH (1,1), and GJR-GARCH. The all share index and the industrial index in TSEM between 2003 and 2013 were employed. Simple VaR, Simple GARCH, and GJR-GARCH are useful to predict risk of the market under financial crisis circumstances.
(volume 4, number 2)
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Author(s)
Shams, Mirfeiz Fallah Sign in to follow this author
Sina, Afsaneh Sign in to follow this author
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