CAViaR and the Australian Stock Markets: An Appetiser

19 Pages Posted: 10 May 2010 Last revised: 23 Aug 2010

See all articles by David E. Allen

David E. Allen

School of Mathematics and Statistics, The University of Sydney; Financial Research Network (FIRN); Department of Finance; School of Business and Law, Edith Cowan University

Abhay Kumar Singh

Edith Cowan University

Multiple version iconThere are 2 versions of this paper

Date Written: March 1, 2010

Abstract

Value-at-Risk (VaR) has become the universally accepted metric in the financial services industry for internal control and for regulatory reporting. This has focused attention on methods of measuring, estimating and forecasting lower tail risk. One promising technique is Quantile Regression which holds the promise of efficiently calculating (VAR). To this end, Engle and Manganelli in (2004) developed their CAViaR model (Conditional Autoregressive Value at Risk). In this paper 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 and out of sample tests.

Keywords: VaR, Quantile Regressions, Autoregressive, CAViaR

JEL Classification: C31, G11

Suggested Citation

Allen, David Edmund and Singh, Abhay Kumar, CAViaR and the Australian Stock Markets: An Appetiser (March 1, 2010). Available at SSRN: https://ssrn.com/abstract=1601654 or http://dx.doi.org/10.2139/ssrn.1601654

David Edmund Allen

School of Mathematics and Statistics, The University of Sydney ( email )

School of Mathematics and Statistics F07
University of Sydney
Sydney, New South Wales 2006
Australia

HOME PAGE: http://www.maths.usyd.edu.au

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Department of Finance ( email )

Taiwan
Taiwan

School of Business and Law, Edith Cowan University

100 Joondalup Drive
Joondalup, WA 6027
Australia

HOME PAGE: http://www.dallenwapty.com

Abhay Kumar Singh (Contact Author)

Edith Cowan University ( email )

Joondalup Drive
Perth
Joondalup, WA 6027
Australia

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