Paper Submission: 25 July 2021
Author Notification: 7 to 10 days
Journal Publication: July 2021
Md. Monimul Huq , *Md. Ayub Ali
In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). A set of symmetric and asymmetric GARCH type models based on various error distributions were applied on Dhaka Stock Exchange DS30 Index from January 28, 2013 to May 29, 2017 for estimating and forecasting the market Value-at-Risk of the index. The most adequate GARCH family models for estimating volatility in the Dhaka stock exchange was found to be as the asymmetric TGARCH (1,1) model with GED. TGARCH (1,1) model with GED was allowed by Kupiec test with 99% of confidence level. The proposed VaR model would help the investors in their emerging capital markets.
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Associate Professor, Department of Statistics, University of Rajshahi, Rajshahi - 6205, Bangladesh. E-mail: firstname.lastname@example.org
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