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The effect of asymmetries on stock index return value-at-risk estimates

Brooks, C. and Persand, G. (2003) The effect of asymmetries on stock index return value-at-risk estimates. Journal of Risk Finance, 4 (2). pp. 29-42. ISSN 1526-5943

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To link to this item DOI: 10.1108/eb022959


It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

Item Type:Article
Divisions:Henley Business School > ICMA Centre
ID Code:21315
Uncontrolled Keywords:Stock index, Minimum Capital Risk Requirements, Internal Risk Management Models, Value at risk, asymmetries, multivariate GARCH, semi-variance
Publisher Statement:This article is (c) Emerald Group Publishing and permission has been granted for this version to appear here ( Emerald does not grant permission for this article to be further copied/distributed or hosted elsewhere without the express permission from Emerald Group Publishing Limited. The definitive version can be found at:


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