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International Journal of Industrial Engineering and Productional Research-، جلد ۲۷، شماره ۴، صفحات ۰-۰
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| عنوان فارسی |
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| چکیده فارسی مقاله |
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| کلیدواژه‌های فارسی مقاله |
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| عنوان انگلیسی |
Presentation of non-linear dynamic modeling for estimating Value at Risk by considering the effects of asymmetric News: Evidence from Tehran Stock Exchange |
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| چکیده انگلیسی مقاله |
Empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. That is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of VaR. Copula theory is basic tool for multivariate modeling, which is defined by using marginal and dependencies between variables joint distribution function. In addition, Copulas are able to explain and describe of complex multiple dependencies structures such as non-linear dependence. Therefore, in this study, by combining symmetric and asymmetric GARCH model for modeling the marginal distribution of variables and Copula functions for modeling financial data and also use of DCC model to determine the dynamic correlation structure between assets, try to estimate the Value at Risk of investment portfolio consists of five active index In Tehran Stock Exchange. The results demonstrate excellence of GJR-GARCH(1,1) with the distribution of t-student for marginal distribution. t-Copula model, estimates the Value at Risk model less than the Gaussian Copula in all cases. |
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| کلیدواژه‌های انگلیسی مقاله |
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| نویسندگان مقاله |
سید بابک ابراهیمی | seyed babak ebrahimi
tehran
سید مرتضی عمادی | seyed morteza emadi
tehran
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| نشانی اینترنتی |
http://ijiepr.iust.ac.ir/browse.php?a_code=A-10-118-5&slc_lang=en&sid=en |
| فایل مقاله |
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| کد مقاله (doi) |
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| زبان مقاله منتشر شده |
en |
| موضوعات مقاله منتشر شده |
Optimization Techniques |
| نوع مقاله منتشر شده |
پژوهشی |
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