The effect of asymmetries on stock index return value-at-risk estimates

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Persand, G. (2003) The effect of asymmetries on stock index return value-at-risk estimates. Journal of Risk Finance, 4 (2). pp. 29-42. ISSN 1526-5943 doi: 10.1108/eb022959

Abstract/Summary

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/21315
Identification Number/DOI	10.1108/eb022959
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Uncontrolled Keywords	Stock index, Minimum Capital Risk Requirements, Internal Risk Management Models, Value at risk, asymmetries, multivariate GARCH, semi-variance
Publisher	Emerald
Publisher Statement	This article is (c) Emerald Group Publishing and permission has been granted for this version to appear here (centaur.reading.ac.uk). Emerald does not grant permission for this article to be further copied/distributed or hosted elsewhere without the express permission from Emerald Group Publishing Limited. The definitive version can be found at: http://www.emeraldinsight.com/journals.htm?articleid=1659769
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