The Korean Economic Review
Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation
Sang Hoon Kang (Gyeongsang National University) and Seong-Min Yoon (Pusan National University)Year 2009Vol. 25No. 2
This paper examines value-at-risk (VaR) analysis performance in the context of the market volatility of five Asian emerging stock markets. From the performance of VaR analysis, we found that the skewed Student’s t APARCH model is the best for incorporating the skewness and excess kurtosis of stock returns, and the appropriate assumption of return distribution can provide more accurate VaR models for Asian stock markets. This means that risk-averse investors or portfolio managers of long andshort trading positions in Asian stock markets can build optimal margin levels using the VaR computation based on the skewed Student’s t APARCH model.