The value-at-risk model in evaluating the performance of GARCH models: an application to the ISE100, Financial, Industrials, and Services indices

Buberkoku O.

IKTISAT ISLETME VE FINANS, cilt.28, sa.330, ss.81-104, 2013 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 28 Sayı: 330
  • Basım Tarihi: 2013
  • Doi Numarası: 10.3848/iif.2013.330.3767
  • Dergi Adı: IKTISAT ISLETME VE FINANS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI)
  • Sayfa Sayıları: ss.81-104
  • Çukurova Üniversitesi Adresli: Hayır

Özet

This study uses a value-at-risk method to investigate the GARCH(p,q), GJR-GARCH (p,g), and EGARCH(p,g) models for the ISE 100, Financial, Industrials, and Services indices to determine the most accurate GARCH-type model. The results show that, at the 99% confidence level, the most accurate are the GARCH(1,1) model for the ISE 100 and Financial indices and the GJR-GARCH(1,1,1) and GJR-GARCH(2,1,1) models for the Industrials and Services indices, respectively However, at the 95% confidence level, the most accurate models are the GJR-GARCH(1,1,1) model for the ISE 100 and Financial indices and the EGARCH(1,1,2) model for the Services indices. Furthermore, it is found that the GARCH and GJR-GARCH models perform better than the EGARCH model in most cases.