Open AccessReturn distribution and value at risk estimation for BELEX15
Author(s) -
Dragan Djorić,
Emilija Nikolić-Djorić
Publication year - 2011
Publication title -
yugoslav journal of operations research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.221
H-Index - 21
eISSN - 1820-743X
pISSN - 0354-0243
DOI - 10.2298/yjor1101103d
Subject(s) - value at risk , statistics , econometrics , confidence interval , stock exchange , mathematics , index (typography) , estimation , value (mathematics) , economics , computer science , risk management , finance , management , world wide web
The aim of this paper is to find distributions that adequately describe returns of the Belgrade Stock Exchange index BELEX15. The sample period covers 1067 trading days from 4 October 2005 to 25 December 2009. The obtained models were considered in estimating Value at Risk ( VaR ) at various confidence levels. Evaluation of VaR model accuracy was based on Kupiec likelihood ratio test