@article{75a84f81a959467d91df55a4a98d5565,
title = "Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH",
abstract = "This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors.",
keywords = "ASEAN, GARCH, stochastic volatility, Value-at-Risk",
author = "{Bui Quang}, Paul and Tony Klein and Nguyen, {Nam H.} and T. Walther",
year = "2018",
doi = "10.3390/jrfm11020018",
language = "English",
volume = "11",
journal = "Journal of Risk and Financial Management",
issn = "1911-8074",
publisher = "Multidisciplinary Digital Publishing Institute (MDPI)",
number = "2",
}