Journal of World Economic Research

Volume 3, Issue 2, April 2014

  • Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT)

    Haïfa Frad, Ezzeddine Zouari

    Issue: Volume 3, Issue 2, April 2014
    Pages: 15-20
    Received: May 20, 2014
    Accepted: Jun. 05, 2014
    Published: Jul. 10, 2014
    DOI: 10.11648/j.jwer.20140302.11
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    Abstract: 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 posi... Show More