2021
DOI: 10.1108/jefas-03-2021-0009
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Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets

Abstract: PurposeThis paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods.Design/methodology/approachMany VaR estimation models have been presented in the literature. In this paper, the VaR is estimated using the Generalized Autoregressive Conditional Heteroskedasticity, EGARCH and GJR-GARCH models under normal, skewed-normal, Student-t and skewed-Studen… Show more

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Cited by 6 publications
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“…(2018) and Deng and Qiu (2021), are part of current research agendas. Finally, extending our analysis towards emerging economies, as in Serrano Bautista and Núñez Mora (2021), is a future agenda.…”
Section: Resultsmentioning
confidence: 99%
“…(2018) and Deng and Qiu (2021), are part of current research agendas. Finally, extending our analysis towards emerging economies, as in Serrano Bautista and Núñez Mora (2021), is a future agenda.…”
Section: Resultsmentioning
confidence: 99%