Different VAR for Developing and Developed Nations because of Market Efficiency
Authors: Dr Shailesh Rastogi, Ashok Patil and Akanksha Goel
Journal: Pacific Business Review International
Publication date: 2019 May
Publisher: Pacific Business Review International
URL: click here
The aim of this paper is to compare the performance of VaR among Nations. This paper employs the method proposed by Diebold, Schuermann, and Stroughair (1998) and McNeil and Frey (2000) in order to filter the return data to obtain i.i.d residuals by fitting ARMAGARCH models.The model that shows the lowest percentage failure rate in VaR in out-of-sample period is identified as the best GARCH model to estimate VaR. The conditional and unconditional coverage tests are conducted to assess the adequacy of VaR estimates.Persistent I-GARCH-t models give the best VaR estimates in developing nations while asymmetric e-GARCH-t models yield the best VaR estimates for developed nations.