Forecasting value-at-risk during crises in select ASEAN stock market indices through GARCH-EVT models

• Main Authors: Balmaceda, Janelle Fatima A., Miranda, Maxim Anthonnae M., Parba, Mary Haniel Joy M., Zapanta, Patricia Anne M.
• Format: text
• Language: English
• Published: Animo Repository 2022
• Subjects: Stock price indexes—Southeast Asia; Stock exchanges—Southeast Asia; Stock price forecasting—Southeast Asia; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/27; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1036/viewcontent/Forecasting_value_at_risk_during_crises_in_select_ASEAN_stock_mar_Redacted2.pdf

This study compared the EVT and GARCH-EVT models to determine the most reliable model with regard to forecasting VaR during a crisis, specifically the Global Financial Crisis and the COVID-19 Pandemic. Hence, the paper analyzed the selected ASEAN indices’ daily closing prices during the said crises...