The impact of liquidity on portfolio value-at-risk forecasts.
學年 108
學期 1
出版(發表)日期 2020-01-01
作品名稱 The impact of liquidity on portfolio value-at-risk forecasts.
作品名稱(其他語言)
著者 Jui-Cheng Hung; Jung-Bin Su; Matthew C. Chang; Yi-Hsien Wang
單位
出版者
著錄名稱、卷期、頁數 Applied Economics、52(3)、Pp.242-259
摘要 Historical crisis events have highlighted the insufficiency of Value-at-Risk (VaR) as a measure of market risk because such metric does not take liquidity into account. Unlike previous studies analyzing with only a single asset, we examine the impact of liquidity on computing VaR forecasts from a portfolio level. To this end, we use multivariate GARCH-t and GJR-GARCH-t models, as compared with univariate models, to seize the liquidity property embedded in individual stock returns and evaluate their accuracy and efficiency in computing VaR forecasts for portfolios with different liquidity levels. The empirical results indicate that computing portfolio VaR forecasts with multivariate models outperform the univariate models for full and subsample periods in terms of accuracy and efficiency evaluations, in particular for less-liquid portfolios. These results suggest the importance of liquidity in computing portfolio VaR forecasts. Ignorance of the impact of liquidity in computing portfolio VaR forecasts might result in inadequate coverage and insufficient market risk capital requirements.
關鍵字 Value-at-risk; illiquidity; multivariate GARCH-t and GJR-GARCH-t models; accuracy and efficiency
語言 en
ISSN 0003-6846
期刊性質 國外
收錄於 SSCI NotTSSCI
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 ,電子版