ABSTRACT
This paper presents the comparative study of Value-at-Risk
(VaR) estimates based on the holding period effects. Applying to different
observation horizons and confidence levels (95% and 99%), the sample period covers
from November 24, 2000 until November 23, 2005. The procedure is based on a
full valuation approach namely the historical simulation to determine the VaR
estimates by using selected stocks traded in the first board of the Malaysian
stock exchange. Based on the analysis, mix results are shown when different
holding periods are used. Further illustrations include that the length of the observation
periods and confidence levels are also important in determining the VaR values.
Keywords: Value-at-Risk,
historical simulation, holding period, confidence level
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