A Gourmet's delight: CAViaR and the Australian stock market

D. E. Allen, A. K. Singh, R. Powell

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Value at Risk (VaR) is the metric adopted by the Basel Accords for banking industry internal control and regulatory reporting. This has focused attention on the measuring, estimating and forecasting of lower tail risk. Engle and Manganelli (2004) developed the conditional autoregressive value at risk (CAViaR) model using quantile regression to calculate VaR. In this article we apply their model to Australian stock market indices and a sample of stocks, and test the efficacy of four different specifications of the model in a set of in-sample and out-of-sample tests. We also contrast the results with those obtained from a Generalized Autoregressive Conditional Heteroskedastic (GARCH(1,1)) model, the RiskMetrics™ model (Morgan, 1996) and an Asymmetric Power Autoregressive Conditional Heteroskedastic (APARCH) model.

LanguageEnglish
Pages1493-1498
Number of pages6
JournalApplied Economics Letters
Volume19
Issue number15
DOIs
Publication statusPublished - Oct 2012
Externally publishedYes

Fingerprint

Stock market
Value at risk
Generalized autoregressive conditional heteroscedasticity
Quantile regression
Internal control
Conditional model
Efficacy
Stock market index
Risk model
Tail risk
Banking industry
Basel Accord

Keywords

  • CAViaR
  • quantile regression
  • VaR

Cite this

Allen, D. E. ; Singh, A. K. ; Powell, R. / A Gourmet's delight : CAViaR and the Australian stock market. In: Applied Economics Letters. 2012 ; Vol. 19, No. 15. pp. 1493-1498.
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A Gourmet's delight : CAViaR and the Australian stock market. / Allen, D. E.; Singh, A. K.; Powell, R.

In: Applied Economics Letters, Vol. 19, No. 15, 10.2012, p. 1493-1498.

Research output: Contribution to journalArticleResearchpeer-review

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