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
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Authors
Haïfa Frad, MO2FID Laboratory -FSEG of sousse, Erriath City, Sousse, Tunisia
Ezzeddine Zouari, FSEG of Sousse, Erriath City, Sousse, Tunisia
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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 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.
Keywords
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
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