ABSTRACT
This paper
presents the comparative study of Value-at-Risk (VaR) models using the
historical data of selected stocks traded in the first board of the Malaysian
stock exchange. Applying different holding periods (one-day, ten-days and
one-month) and confidence levels (95% and 99%), the data sample covers from
November 24, 2000 until November 23, 2005. Based on the historical simulation
technique, mix results are shown when different holding periods are used. The
study also highlights the important roles of the observation periods length and
confidence levels in determining the VaR values.
Keywords: Value-at-Risk, historical simulation,
holding period, confidence level
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