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)
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著者
|
Jui-Cheng Hung; Jung-Bin Su; Matthew C. Chang; Yi-Hsien Wang |
單位
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出版者
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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
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通訊作者
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審稿制度
|
是 |
國別
|
USA |
公開徵稿
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出版型式
|
,電子版 |