VALUE AT RISK WITH STOCHASTIC VOLATILITY PERTURBED BY HURST PARAMETER

被引：3

作者：

Alhagyan, Mohammed ^{[1
]}

Misiran, Masnita ^{[2
]}

Omar, Zurni ^{[2
]}

Hadi, Nadia Edmaz Abdul ^{[3
]}

Phewchean, Nattakorn ^{[4
,5
]}

Matarneh, Khaled ^{[6
]}

机构：

[1] Prince Sattam Bin Abdulaziz Univ, Community Coll Al Aflaj, Dept Math, Al Kharj, Saudi Arabia

[2] Univ Utara Malaysia, Sch Quantitat Sci, Dept Math & Stat, Bukit Kayu Hitam, Kedah, Malaysia

[3] ValueCAP, HP Towers, Kuala Lumpur, Malaysia

[4] Mahidol Univ, Fac Sci, Dept Math, Rama VI Rd, Bangkok 10400, Thailand

[5] Minist Educ, Ctr Excellence Math, Commiss Higher Educ, Rama VI Rd, Bangkok 10400, Thailand

[6] Arab Open Univ, IT Dept, Riyadh, Saudi Arabia

来源：

ADVANCES AND APPLICATIONS IN STATISTICS | 2021年 / 70卷 / 01期

关键词：

value at risk; Hurst parameter; stochastic volatility; self-similar; LONG-MEMORY; CAPITAL REQUIREMENTS;

D O I：

10.17654/AS070010031

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The commonly adopted value at risk (VaR) model assumes the distribution of portfolio values that are normally distributed with stationary and independent increment, which restricts its usage for cases of arbitrary distributions. In this study, the current assumption is improved by constructing theoretical development of VaR model based on fractional Brownian motion, with Hurst parameter, H, as its underlying distribution. Empirical investigation is conducted to compare the standard model with the proposed model. The findings indicated that higher value of H provided higher value in VaR, thus suggesting greater probability to lose.

引用

页码：31 / 43

页数：13

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