Theoretical Economics Letters

Volume 8, Issue 9 (June 2018)

ISSN Print: 2162-2078   ISSN Online: 2162-2086

Google-based Impact Factor: 1.20  Citations  h5-index & Ranking

Forecasting Value-at-Risk (VaR) in the Major Asian Economies

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DOI: 10.4236/tel.2018.89100    703 Downloads   1,570 Views  Citations


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.

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Zargar, F. and Kumar, D. (2018) Forecasting Value-at-Risk (VaR) in the Major Asian Economies. Theoretical Economics Letters, 8, 1565-1581. doi: 10.4236/tel.2018.89100.

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