Assessing Tail-Related Risks in Asian Equity Markets: A Gpd Approach
44 Pages Posted: 5 Feb 2007
Abstract
In assessing tail-related risks in Asian equity markets, we blend the GPD model with the GARCH one. This approach enables us to reveal that innovations after volatility filtering may still remain heavy-tailed or involve tail-related risk that cannot be captured by the GARCH-type model alone. Our results indicate that, at high quantiles, VaRs based on the GPD approach are greater than those based on the normal distribution. We also report the GPD-based unconditional and conditional expected shortfalls that may contain rich information about the potential losses (gains) beyond VaR for the markets under investigation.
Keywords: generalised Pareto distribution, volatility filtering, VaR, expected shortfall, Asian equity markets
JEL Classification: C16, G15
Suggested Citation: Suggested Citation
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