TY  - JOUR
AB  - Purpose– The purpose of this paper is to use filtered extreme‐value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models.Design/methodology/approach– This paper employs eight filtered EVT models created with conditional quantile to estimate value‐at‐risk (VaR) for the Istanbul Stock Exchange. The performances of the filtered EVT models are compared to those of generalized autoregressive conditional heteroskedasticity (GARCH), GARCH with student‐t distribution, GARCH with skewed student‐t distribution, and FIGARCH by using alternative back‐testing algorithms, namely, Kupiec test, Christoffersen test, Lopez test, Diebold and Mariano test, root mean squared error (RMSE), and h‐step ahead forecasting RMSE.Findings– The results indicate that filtered EVT performs better in terms of capturing fat‐tails in stock returns than parametric VaR models. An increase in the conditional quantile decreases h‐step ahead number of exceptions and this shows that filtered EVT with higher conditional quantile such as 40 days should be used for forward looking forecasting.Originality/value– The research results show that emerging market stock return should be forecasted with filtered EVT and conditional quantile days lag length should also be estimated based on forecasting performance.
VL  - 11
IS  - 2
SN  - 1526-5943
DO  - 10.1108/15265941011025189
UR  - https://doi.org/10.1108/15265941011025189
AU  - Ozun Alper
AU  - Cifter Atilla
AU  - Yılmazer Sait
PY  - 2010
Y1  - 2010/01/01
TI  - Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey
T2  - The Journal of Risk Finance
PB  - Emerald Group Publishing Limited
SP  - 164
EP  - 179
Y2  - 2021/03/07
ER  -