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Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT)
Company: Journal of World Economic Research
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Pages: 15-20
Download Count: 0
View Count: 1501
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-13-2014
Publisher: Administrator
Summary
In this paper, we have combined the Extreme Value Approach with GARCH model which is called conditional EVT. We have used their approach on the Islamic stock price index to measure the conditional VaR and the related risk statistic expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The empirical results show a strong stability across of the selected threshold, implying the accuracy and reliability of the estimated quantile based risk measures. Interested islamic index fund managers could employ these techniques as a means of risk management.
(volume 3, number 2)
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Author(s)
Frad, Haifa Sign in to follow this author
Zouari, Ezzeddine Sign in to follow this author
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