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The Impact of Skewness and Kurtosis for VaR Calculation
The Impact of Skewness and Kurtosis for VaR Calculation
Sukono, Subanar, Dedi Rosadi
Universitas Padjadjaran, Proceedings of the 5th Asian Mathematical Conference, Malaysia 2009
Bahasa Inggris
Universitas Padjadjaran, Proceedings of the 5th Asian Mathematical Conference, Malaysia 2009
Cornish-Fisher expansion, GARCH models., Modified Value-at-Risk, skewed Studentt distribution
Sukono, Subanar, Dedi Rosadi
Universitas Padjadjaran, Proceedings of the 5th Asian Mathematical Conference, Malaysia 2009
Bahasa Inggris
Universitas Padjadjaran, Proceedings of the 5th Asian Mathematical Conference, Malaysia 2009
Cornish-Fisher expansion, GARCH models., Modified Value-at-Risk, skewed Studentt distribution
This paper investigates the effect of skewness and kurtosis in the calculation of Value-at-Risk for non normal distribution returns. We consider the method Modified Value-at-Risk (MVaR), using the standard and the skewed Studentt distribution and applying the Cornish-Fisher expansion. We also consider the effect of nonconstant volatility by applying GARCH models. We apply this method for several stocks listed in Indonesian capital market.
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