Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT)
Journal of World Economic Research
Volume 3, Issue 2, April 2014, Pages: 15-20
Received: May 20, 2014; Accepted: Jun. 5, 2014; Published: Jul. 10, 2014
Views 2770      Downloads 219
Haïfa Frad, MO2FID Laboratory -FSEG of sousse, Erriath City, Sousse, Tunisia
Ezzeddine Zouari, FSEG of Sousse, Erriath City, Sousse, Tunisia
Article Tools
Follow on us
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.
Extreme Value Theory (EVT), Value-at-Risk (VaR), Peak over Threshold Method (POT), Expected Shortfall (ES)
To cite this article
Haïfa Frad, Ezzeddine Zouari, Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT), Journal of World Economic Research. Vol. 3, No. 2, 2014, pp. 15-20. doi: 10.11648/j.jwer.20140302.11
Anderson, T.G., Bollerslev, T., Lange, S., (1999) "Forecasting financial market volatility: sample frequency Vis-à-vis forecast horizon", Jornal of Empirical Finance 6,457-477.
Andrews , N.,& THomas, M.(2002) "At the end the tail" EPRM 75-77.
Bali T.G., (2003), "An extreme value approch to estimating volatility and value at risk" the journal of Business, (76),1ABI/INFORM, pp 83-108.
Bali, Turan G. (2007). "A generalized extreme value approach to financial risk measurement". Journal of Money, Credit, and Banking(39), 1611–1647.
Bekiros S.D., et Georgoutsos, D.A, (2005) "Estimation of Value-at-Risk by extreme value and conditional methods: a comparative evaluation of their predictive performance" Journal of International Financial Markets, Institutions & Money 15, 209-228.
Bystrom, Hans N. S. (2004). "Managing extreme risks in tranquil and volatile markets using conditional extreme value theory". International Review of Financial Analysis, 13(2), 133–152.
Christoph Hartz, Stefan Mittnik, and Marc Paolella, (2006)"Accurate value-at-risk forcasting based on the normal-GARCH model", Computation Statistics & Data Analysis 51 (2006) 2295-2312.
Cotter, J. (2007). "Varying the VaR for unconditional and conditional environments". Journal of International Money and Finance, 26(8), 1338–1354.
Danielsson, J., & de Vries, C. (1997a)." Beyond the sample: Extreme quantile and probability estimation". Rotterdam Tinbergen Institute
Science Publishing Group
1 Rockefeller Plaza,
10th and 11th Floors,
New York, NY 10020
Tel: (001)347-983-5186