Theoretical and Applied Economics
No. 4 / 2019 (621), Winter
GARCH based VaR estimation: An empirical evidence from BRICS stock markets
Sri Sathya Sai Institute of Higher Learning, India
Prabhakar RAO. R
Sri Sathya Sai Institute of Higher Learning, India
Abstract. This paper examines the adequacy of GARCH based VaR models in risk estimation for BRICS emerging stock markets. This study uses the daily data of stock indices in these markets for the period 25th September 1997 to 30th March 2018. Here we employ SGARCH, EGARCH and GJR-GARCH models to test volatility persistence and leverage effect of these markets. It is observed that the volatility persistence and leverage effect is present in all these markets. In GARCH estimation the error distribution - students t is found to be suitable for Brazil, Russia, India, and South Africa whereas GED for China. From the backtesting results of Kupiec and Christoffersen test, it is found that these models are appropriate for Brazil, Russia, India, and South Africa in risk estimation at 99% one day VaR.
Contents
Expanding the Eurozone. The stage of economic convergence for Bulgaria, Czech Republic, Croatia, Hungary, Poland and Romania
Business R&D investments in the EU: Main dynamics and economic effects
Volatility experience of major world stock markets
Unemployment hysteresis analysis for OECD countries
Culture as a driving factor for foreign direct investments in the Western Development Region of Romania
A Deep Neural Network (DNN) based classification model in application to loan default prediction
The new Keynesian Phillips Curve. Implications. Strengths and weaknesses
Corporate ownership structure and performance: An enquiry into India
Turkey’s macroeconomic policy challenges in the aftermath of the 2018 crisis: A sectoral financial balances analysis
Main aspects on the nature of dynamic models
An analyses model of the Romanian privately managed pension system
Dynamic models used in analysis capital and population
Poverty rate determinants in the Central and Eastern Europe member states
Wagner versus Keynesian Hypothesis: Role of aggregate and disaggregate expenditure in Pakistan
GARCH based VaR estimation: An empirical evidence from BRICS stock markets
Does FDI substitute exports of home country? A case of US FDI in select Asian economies
Exploring the role of institutions in cross country Malmquist productivity analysis: A two-stage double bootstrap DEA approach
Does the Mundell-Fleming Model apply to Poland?
The validity of Okun’s Law: Evidences from Indian economy