Volume 15, Issue 1 (2015)                   QJER 2015, 15(1): 105-122 | Back to browse issues page

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Sahabi B, Sadeghi H, khorsandi V. The Calculation of VAR of Metal Ores and Pharmaceutical Industries in Tehran Stock Exchange by using Wavelet Analysis and GARCH Models. QJER 2015; 15 (1) :105-122
URL: http://ecor.modares.ac.ir/article-18-1945-en.html
The Calculation of VAR of Metal Ores and Pharmaceutical Industries in Tehran Stock Exchange by using Wavelet Analysis and GARCH Models
Bahram Sahabi * 1, Hossein Sadeghi2 , Vali Khorsandi3
1- Assistant Professor of Economics, Tarbiat Modares University (Corresponding Author)
2- Associate Professor of Economics, Tarbiat Modares University
3- M.A. of Energy Economics, Tarbiat Modares University
Abstract:   (9780 Views)
This study computes the value at risk (VAR) of metal ores and pharmaceutical industries in Tehran Stock Exchange by using parametric approach (GARCH Models) and semi-parametric approach (the combination of Wavelet Analysis and GARCH). The results and evaluation of two approaches confirms the hypothesis indicating better and more efficient performance of Semi-parametric approach compared with that of parametric methods. In fact, in high confidence levels, the semi-parametric approach proposed has lower MSE and failure rates compared to parametric approach. On the other hand, investing in pharmaceutical industry due to the increasing health needs, increase in life expectancy and its effect on public health is less-risky than that of metal ores industry.
Keywords: risk, Value at Risk, Kupiec P-Value, Stock exchange, Semi-Parametric Approach
Full-Text [PDF 481 kb]   (4426 Downloads)    
Article Type: Research Paper | Subject: C14 - Semiparametric and Nonparametric Methods|C1 - Econometric and Statistical Methods: General
Received: 2012/07/17 | Accepted: 2013/07/17 | Published: 2015/03/21
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