The effects of risk modelling: assessing value-at-risk accuracy

This study examines Value-at-Risk (VaR) models that are integrated with several volatility representations to estimate the market risk for seven nonfinancial sectors traded on the first board of the Malaysian stock exchange. In a sample that spanned 19 years from1993 until 2012 for construction, con...

Full description

Saved in:
Bibliographic Details
Main Authors: Zatul Karamah Ahmad Baharul-Ulum, Ismail Ahmad, Norhana Salamudin, Norzaidi Mohd Daud
Format: Non-Indexed Article
Published: 2015
Online Access:http://discol.umk.edu.my/id/eprint/8099/
http://e-journal.um.edu.my/public/article-view.php?id=7857
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Universiti Malaysia Kelantan