TITLE:
Forecasting Value-at-Risk (VaR) in the Major Asian Economies
AUTHORS:
Faisal Nazir Zargar, Dilip Kumar
KEYWORDS:
Value-at-Risk, Asian Economies, Backtesting, Volatility Prediction
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.9,
June
12,
2018
ABSTRACT: This is an empirical study of forecasting
Value-at-Risk (VaR) in the major Asian economies. The VaR is first forecasted
for Singapore, Malaysia, Hong Kong of China, Indonesia, South Korea,
Philippines, Thailand, China, Taiwan of China and India using different
competing models. The VaR estimates are then backtested using unconditional
coverage test, conditional coverage test and loss function to arrive at the
best VaR model for each of the economies. The results are mixed with the
highest success rate of FIGARCH model. Also, the appropriateness of the models
changes across quantiles and between tails.