Tail Risk Analysis Using realized measure and Dynamic Asymmetric Laplace Models in Tehran Stock Exchange

Subject Areas : Financial engineering

esmail mohammadi salari ¹ ( Departments of Financial Management, Qom branch, Islamic azad university, Qom, Iran )
Mohammad Reza Rostami ² ( Department of Management, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran )
Reza Gholami Jamkarani ³ ( Department of Accounting, Qom branch, Islamic azad university, Qom, Iran )
Mojganm safa ⁴ ( Department of Accounting, Qom branch, Islamic azad university, Qom, Iran )

Received: 2021-05-13 Accepted : 2021-06-27 Published : 2021-09-23

Keywords: Tehran Stock Exchange, Value at Risk (VaR), Expected Shortfall (VaR), realized measures, Dynamic Models,

Abstract :

AbstractThe main objective of this study is to estimate and evaluate the performance of the dynamic realized conditioned autoregressive value at risk model (Realized-ES-CAViaR-Add-RV-SAV) in forecasting tail risk measures (VaR and ES). In this regard, daily as well as intraday (hourly) data of Tehran Stock Exchange Index in the period of 24/6/2014 – 2/2/2021are used. The results of the model are compared to the results of ES-CAViaR-SAV and ES-CAViaR-AS models to investigate the effect of incorporating the realized component to the model. Using backtesting tools such as Bin, POF, TUFF, CC, CCI, VRate tests, Lopez loss function (LL) (in VaR part) and McNeil and Frey test and ranking according to MCS method in The ES part, the efficiency of the models are examined. The results of this study indicate the efficiency of all three models in forecasting the tail risk measures. In addition, the results show that the use of realized criteria increases the tail risk forecasting efficiency.