Estimating value‐at‐risk models for non‐conventional equity market index

In this study, we evaluate Value‐at‐Risk (VaR) forecasts for non‐conventional (i.e., Islamic) equity markets using various time‐varying volatility models. Recent evidence suggests that volatility shifts in returns cause non‐normality by significantly increasing kurtosis. Consequently, we endogenousl...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Review of financial economics 2022-01, Vol.40 (1), p.63-76
Hauptverfasser:	Baig, Ahmed S., Butt, Hassan A., Khalid, Rizwan
Format:	Artikel
Sprache:	eng
Schlagworte:	Islamic equity market index volatility Value‐at‐Risk volatility shifts
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!