Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets

The International Journal of Business and Finance Research, v. 7 (2) p. 1-15

16 Pages Posted: 29 Jan 2013

See all articles by Hongtao Guo

Hongtao Guo

Winston-Salem State University

Miranda S. Lam

Winston-Salem State University

Guojun Wu

University of Houston; China Academy of Financial Research (CAFR)

Zhijie Xiao

Boston College - Department of Finance and Department of Economics

Date Written: 2013

Abstract

In this paper we study risk management based on the quantile regression. Unlike the traditional VaR estimation methods, the quantile regression approach allows for a general treatment on the error distribution and is robust to distributions with heavy tails. We estimate the VaRs of five international equity indexes based on AR-ARCH model via quantile regressions. The empirical application show that the quantile regression based method is well suited to handle negative skewness and heavy tails in stock return time series.

Keywords: Value at risk, international equities, quantile regression, risk analysis

JEL Classification: G110, G150, C18

Suggested Citation

Guo, Hongtao and Lam, Miranda S. and Wu, Guojun and Xiao, Zhijie, Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets (2013). The International Journal of Business and Finance Research, v. 7 (2) p. 1-15. Available at SSRN: https://ssrn.com/abstract=2149096

Hongtao Guo (Contact Author)

Winston-Salem State University ( email )

601 S. Martin Luther King Jr Dr
RJR 130
Winston-Salem, NC 27110
United States

Miranda S. Lam

Winston-Salem State University ( email )

601 S. Martin Luther King Jr Dr
RJR 130
Winston-Salem, NC 27110
United States

Guojun Wu

University of Houston ( email )

220F Melcher Hall
Houston, TX 77204-6021
United States
713-743-4813 (Phone)
713-743-4789 (Fax)

HOME PAGE: http://www.bauer.uh.edu/wu

China Academy of Financial Research (CAFR)

1954 Huashan Road
Shanghai P.R.China, 200030
China

Zhijie Xiao

Boston College - Department of Finance and Department of Economics ( email )

United States

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