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:
20 May 2014
Accepted:
5 June 2014
Published:
10 July 2014
DOI:
10.11648/j.jwer.20140302.11
Downloads:
Views:
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 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.
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
