Value at Risk Assessment in Tehran Stock Exchange using Non-parametric and parametric Approaches

Subject Areas : business management

ebrahim ghanbari memeshi ¹ , seyed ali nabavi chashmi ² , erfan memarian ³

1 - Department of Finance Management, Babol Branch, Islamic Azad University, Babol, Iran.
2 - Department of Finance Management, Babol Branch, Islamic Azad University, Babol, Iran.
3 - Department of Economic, Babol Branch, Islamic Azad University, Babol, Iran.

Received: 2020-02-14 Accepted : 2020-04-08 Published : 2020-06-21

Keywords: Value at Risk, exponentially weighted Moving Average, Historical Simulation Model, Monte Carlo Simulation Model,

Abstract :

The purpose of this study is to evaluate the value at risk of stock indexes based on parametric and nonparametric approaches in Tehran Stock Exchange. In this regard, the Tehran Stock Exchange (TEPIX) index was used as a representative of market portfolios and daily data for the period 13/10/2009-12/11/2019. In this study, first, the results of estimating the value at risk using two models of exponentially weighted Moving Average (EWMA) and Monte Carlo simulation (MC) are presented. The performance tests of these models are then compared with other models including GARCH and historical simulation models. The estimation results of these models were obtained using Eviews 10 and Matlab 2018 software. The results show that the exponential moving average (EWMA) model is more efficient and more accurate than other models. The results also show that based on violation ratio and Back Tests, non-parametric models such as Monte Carlo simulation have overestimated the value at risk .