برآورد ارزش در معرض خطر با درنظرگرفتن چولگی و کشیدگی متغیر با زمان

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استادیار مهندسی مالی، دانشگاه علم و فرهنگ، تهران

2 کارشناس ارشد مهندسی مالی، دانشگاه رجا، قزوین، ایران

چکیده

مطالعة حاضر به بررسی اثر درنظرگرفتن چولگی و کشیدگی متغیر با زمان بر برآورد ارزش در معرض خطر (VaR) برای موقعیت‌های خرید و فروش با استفاده از مدل HYAPARCH و شاخص کل بورس اوراق بهادار تهران (TEPIX) می‌پردازد. نتایج نشان می‌دهد به‌کارگیری مدل‌ها با توزیع‌های شرطی با چولگی و درجة آزادی متغیر یا ثابت در مقایسه با توزیع نرمال توانسته است عدم تقارنِ داده‏ها را به گونه‌ای مناسب در نظر بگیرد. با وجود این، برآوردهای VaR این مدل‌ها محافظه‌کارانه و برای سرمایه‌گذارانِ ریسک‌گریز مناسب است.

کلیدواژه‌ها


عنوان مقاله [English]

Estimation of Value-at-Risk with Time Varying skewness and kurtosis

نویسندگان [English]

  • Rasoul Sajjad 1
  • mahsa gorji 2
1 Assistant Prof. in Financial Engineering, University of Science and Culture, Tehran, Iran
2 MSc. in Financial Engineering, University of Raja, Qazvin, Iran
چکیده [English]

This paper studies the effect of considering time varying skewness and kurtosis on the estimation of value at risk (VaR) for both long and short positions using the HYAPARCH model and daily data for Tehran Stock Exchange Price Index (TEPIX). Our results show that applying conditional distributions with time varying or constant skewness and degrees of freedom is able to capture the asymmetry appropriately compared to the normal distribution. However, the VaR estimations of these models are conservative, and they are appropriate for risk averse investors.

کلیدواژه‌ها [English]

  • HYAPARCH Model
  • Time Varying Skewness and Kurtosis
  • Asymmetry
  • Value-at-risk
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