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

Document Type : Research Paper


1 Assistant Prof. in Financial Engineering, University of Science and Culture, Tehran, Iran

2 MSc. in Financial Engineering, University of Raja, Qazvin, Iran


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.


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Volume 50, Issue 3 - Serial Number 3
October 2015
Pages 617-638
  • Receive Date: 07 May 2014
  • Revise Date: 30 January 2015
  • Accept Date: 10 March 2015
  • First Publish Date: 23 October 2015