Academic Journal
Ranking of Parametric Value at Risk Models with Consideration of Trader Position (Application of Asymmetric Distribution Functions in GARCH Models)
| العنوان: | Ranking of Parametric Value at Risk Models with Consideration of Trader Position (Application of Asymmetric Distribution Functions in GARCH Models) |
|---|---|
| المؤلفون: | Hadi Heidari, GholamReza K. Haddad |
| المصدر: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, Vol 17, Iss 66, Pp 151-178 (2017) |
| بيانات النشر: | Allameh Tabataba'i University Press, 2017. |
| سنة النشر: | 2017 |
| المجموعة: | LCC:Economics as a science |
| مصطلحات موضوعية: | value at risk, trading position, parametric models, performance ranking of models, Economics as a science, HB71-74 |
| الوصف: | In this paper, we estimate the value at risk of Tehran stock exchange (TSE) index by using GARCH family models in short and long trading positions. Because of asymmetric behavior of returns for long and short positions in TSE, for enhanced accuracy of model, we apply asymmetric normal and t-student distribution functions. By developing Sener et. al (2012) measurement for considering trading positions in performance assessment of parametric models, we show that EGARCH and GJRGARCH models with asymmetric normal and t-student distribution functions are more accurate than other models. Also complementary forecast ability test explain that, with a benchmark model such as GJRGARCH, other models do not have equal mean error, so the asymmetric distribution functions in EGARCH and GJRGARCH models improve their ranks. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | Persian |
| تدمد: | 1735-210X 2476-6453 |
| Relation: | https://joer.atu.ac.ir/article_8205_ffc4486c789723d81bbba77fb774082b.pdf; https://doaj.org/toc/1735-210X; https://doaj.org/toc/2476-6453 |
| DOI: | 10.22054/joer.2017.8205 |
| URL الوصول: | https://doaj.org/article/48a04cb49a0843709fabd3400185c265 |
| رقم الانضمام: | edsdoj.48a04cb49a0843709fabd3400185c265 |
| قاعدة البيانات: | Directory of Open Access Journals |
| ResultId |
1 |
|---|---|
| Header |
edsdoj Directory of Open Access Journals edsdoj.48a04cb49a0843709fabd3400185c265 906 3 Academic Journal academicJournal 905.661926269531 |
| PLink |
https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&scope=site&db=edsdoj&AN=edsdoj.48a04cb49a0843709fabd3400185c265&custid=s6537998&authtype=sso |
| FullText |
Array
(
[Availability] => 0
)
Array ( [0] => Array ( [Url] => https://doaj.org/article/48a04cb49a0843709fabd3400185c265 [Name] => EDS - DOAJ [Category] => fullText [Text] => View record in DOAJ [MouseOverText] => View record in DOAJ ) ) |
| Items |
Array
(
[Name] => Title
[Label] => Title
[Group] => Ti
[Data] => Ranking of Parametric Value at Risk Models with Consideration of Trader Position (Application of Asymmetric Distribution Functions in GARCH Models)
)
Array ( [Name] => Author [Label] => Authors [Group] => Au [Data] => <searchLink fieldCode="AR" term="%22Hadi+Heidari%22">Hadi Heidari</searchLink><br /><searchLink fieldCode="AR" term="%22GholamReza+K%2E+Haddad%22">GholamReza K. Haddad</searchLink> ) Array ( [Name] => TitleSource [Label] => Source [Group] => Src [Data] => Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, Vol 17, Iss 66, Pp 151-178 (2017) ) Array ( [Name] => Publisher [Label] => Publisher Information [Group] => PubInfo [Data] => Allameh Tabataba'i University Press, 2017. ) Array ( [Name] => DatePubCY [Label] => Publication Year [Group] => Date [Data] => 2017 ) Array ( [Name] => Subset [Label] => Collection [Group] => HoldingsInfo [Data] => LCC:Economics as a science ) Array ( [Name] => Subject [Label] => Subject Terms [Group] => Su [Data] => <searchLink fieldCode="DE" term="%22value+at+risk%22">value at risk</searchLink><br /><searchLink fieldCode="DE" term="%22trading+position%22">trading position</searchLink><br /><searchLink fieldCode="DE" term="%22parametric+models%22">parametric models</searchLink><br /><searchLink fieldCode="DE" term="%22performance+ranking+of+models%22">performance ranking of models</searchLink><br /><searchLink fieldCode="DE" term="%22Economics+as+a+science%22">Economics as a science</searchLink><br /><searchLink fieldCode="DE" term="%22HB71-74%22">HB71-74</searchLink> ) Array ( [Name] => Abstract [Label] => Description [Group] => Ab [Data] => In this paper, we estimate the value at risk of Tehran stock exchange (TSE) index by using GARCH family models in short and long trading positions. Because of asymmetric behavior of returns for long and short positions in TSE, for enhanced accuracy of model, we apply asymmetric normal and t-student distribution functions. By developing Sener et. al (2012) measurement for considering trading positions in performance assessment of parametric models, we show that EGARCH and GJRGARCH models with asymmetric normal and t-student distribution functions are more accurate than other models. Also complementary forecast ability test explain that, with a benchmark model such as GJRGARCH, other models do not have equal mean error, so the asymmetric distribution functions in EGARCH and GJRGARCH models improve their ranks. ) Array ( [Name] => TypeDocument [Label] => Document Type [Group] => TypDoc [Data] => article ) Array ( [Name] => Format [Label] => File Description [Group] => SrcInfo [Data] => electronic resource ) Array ( [Name] => Language [Label] => Language [Group] => Lang [Data] => Persian ) Array ( [Name] => ISSN [Label] => ISSN [Group] => ISSN [Data] => 1735-210X<br />2476-6453 ) Array ( [Name] => NoteTitleSource [Label] => Relation [Group] => SrcInfo [Data] => https://joer.atu.ac.ir/article_8205_ffc4486c789723d81bbba77fb774082b.pdf; https://doaj.org/toc/1735-210X; https://doaj.org/toc/2476-6453 ) Array ( [Name] => DOI [Label] => DOI [Group] => ID [Data] => 10.22054/joer.2017.8205 ) Array ( [Name] => URL [Label] => Access URL [Group] => URL [Data] => <link linkTarget="URL" linkTerm="https://doaj.org/article/48a04cb49a0843709fabd3400185c265" linkWindow="_blank">https://doaj.org/article/48a04cb49a0843709fabd3400185c265</link> ) Array ( [Name] => AN [Label] => Accession Number [Group] => ID [Data] => edsdoj.48a04cb49a0843709fabd3400185c265 ) |
| RecordInfo |
Array
(
[BibEntity] => Array
(
[Identifiers] => Array
(
[0] => Array
(
[Type] => doi
[Value] => 10.22054/joer.2017.8205
)
)
[Languages] => Array
(
[0] => Array
(
[Text] => Persian
)
)
[PhysicalDescription] => Array
(
[Pagination] => Array
(
[PageCount] => 28
[StartPage] => 151
)
)
[Subjects] => Array
(
[0] => Array
(
[SubjectFull] => value at risk
[Type] => general
)
[1] => Array
(
[SubjectFull] => trading position
[Type] => general
)
[2] => Array
(
[SubjectFull] => parametric models
[Type] => general
)
[3] => Array
(
[SubjectFull] => performance ranking of models
[Type] => general
)
[4] => Array
(
[SubjectFull] => Economics as a science
[Type] => general
)
[5] => Array
(
[SubjectFull] => HB71-74
[Type] => general
)
)
[Titles] => Array
(
[0] => Array
(
[TitleFull] => Ranking of Parametric Value at Risk Models with Consideration of Trader Position (Application of Asymmetric Distribution Functions in GARCH Models)
[Type] => main
)
)
)
[BibRelationships] => Array
(
[HasContributorRelationships] => Array
(
[0] => Array
(
[PersonEntity] => Array
(
[Name] => Array
(
[NameFull] => Hadi Heidari
)
)
)
[1] => Array
(
[PersonEntity] => Array
(
[Name] => Array
(
[NameFull] => GholamReza K. Haddad
)
)
)
)
[IsPartOfRelationships] => Array
(
[0] => Array
(
[BibEntity] => Array
(
[Dates] => Array
(
[0] => Array
(
[D] => 01
[M] => 09
[Type] => published
[Y] => 2017
)
)
[Identifiers] => Array
(
[0] => Array
(
[Type] => issn-print
[Value] => 1735210X
)
[1] => Array
(
[Type] => issn-print
[Value] => 24766453
)
)
[Numbering] => Array
(
[0] => Array
(
[Type] => volume
[Value] => 17
)
[1] => Array
(
[Type] => issue
[Value] => 66
)
)
[Titles] => Array
(
[0] => Array
(
[TitleFull] => Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī
[Type] => main
)
)
)
)
)
)
)
|
| IllustrationInfo |