In this paper, we have combined the Extreme Value Approach with GARCH model which is called conditional EVT. We have used their approach on the Islamic stock price index to measure the conditional VaR and the related risk statistic expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The empirical results show a strong stability across of the selected threshold, implying the accuracy and reliability of the estimated quantile based risk measures. Interested islamic index fund managers could employ these techniques as a means of risk management.
| Published in | Journal of World Economic Research (Volume 3, Issue 2) |
| DOI | 10.11648/j.jwer.20140302.11 |
| Page(s) | 15-20 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2014. Published by Science Publishing Group |
Extreme Value Theory (EVT), Value-at-Risk (VaR), Peak over Threshold Method (POT), Expected Shortfall (ES)
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APA Style
Haïfa Frad, Ezzeddine Zouari. (2014). Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT). Journal of World Economic Research, 3(2), 15-20. https://doi.org/10.11648/j.jwer.20140302.11
ACS Style
Haïfa Frad; Ezzeddine Zouari. Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT). J. World Econ. Res. 2014, 3(2), 15-20. doi: 10.11648/j.jwer.20140302.11
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Download@article{10.11648/j.jwer.20140302.11,
author = {Haïfa Frad and Ezzeddine Zouari},
title = {Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT)},
journal = {Journal of World Economic Research},
volume = {3},
number = {2},
pages = {15-20},
doi = {10.11648/j.jwer.20140302.11},
url = {https://doi.org/10.11648/j.jwer.20140302.11},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jwer.20140302.11},
abstract = {In this paper, we have combined the Extreme Value Approach with GARCH model which is called conditional EVT. We have used their approach on the Islamic stock price index to measure the conditional VaR and the related risk statistic expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The empirical results show a strong stability across of the selected threshold, implying the accuracy and reliability of the estimated quantile based risk measures. Interested islamic index fund managers could employ these techniques as a means of risk management.},
year = {2014}
}
TY - JOUR T1 - Estimation of Value-at-Risk Measures in the Islamic Stock Market: Approach Based on Extreme Value Theory (EVT) AU - Haïfa Frad AU - Ezzeddine Zouari Y1 - 2014/07/10 PY - 2014 N1 - https://doi.org/10.11648/j.jwer.20140302.11 DO - 10.11648/j.jwer.20140302.11 T2 - Journal of World Economic Research JF - Journal of World Economic Research JO - Journal of World Economic Research SP - 15 EP - 20 PB - Science Publishing Group SN - 2328-7748 UR - https://doi.org/10.11648/j.jwer.20140302.11 AB - In this paper, we have combined the Extreme Value Approach with GARCH model which is called conditional EVT. We have used their approach on the Islamic stock price index to measure the conditional VaR and the related risk statistic expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The empirical results show a strong stability across of the selected threshold, implying the accuracy and reliability of the estimated quantile based risk measures. Interested islamic index fund managers could employ these techniques as a means of risk management. VL - 3 IS - 2 ER -
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