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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/96030

    Title: Why Does Skewness and the Fat-Tail Effect Influence Value-at-Risk Estimates? Evidence from Alternative Capital Markets
    Authors: Su, Jung-Bin;Lee, Ming-Chih;Chiu, Chien-Liang
    Contributors: 淡江大學財務金融學系
    Keywords: Value-at-Risk;GARCH models;Skewness effect;Fat-tail effect;Global financial crisis
    Date: 2014-05
    Issue Date: 2014-02-13 11:36:50 (UTC+8)
    Publisher: Netherlands: Elsevier
    Abstract: In this study, the generalized autoregressive conditional heteroskedasticity (GARCH) model involving skewed generalized error distribution (SGED) was used to estimate the corresponding volatility and value-at-risk (VaR) measures for various commodities distributed across four types of commodity markets. The empirical results indicated that the return (volatility) of most of the assets distributed in alternative markets significantly decreased (increased) as a result of the global financial crisis. Conversely, the oil crisis yielded inconsistent results. Regarding the influences of both crises on return and volatility, the global financial crisis was more influential than the oil crisis was. Moreover, regarding confidence levels, the skewness effect existed among VaR estimations for only the long position, whereas the fat-tail effect existed among the VaR estimations for only high confidence levels, irrespective of whether a long or short position was traded. Finally, regarding the popular confidence levels in risk management, the SGED (GED) was the optimal return distribution setting for a long (short) position.
    Relation: International Review of Economics & Finance 31, pp.59–85
    DOI: 10.1016/j.iref.2013.12.001
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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