The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates
CHRIS BROOKS
(Professor of finance at the ISMA Centre, University of Reading, in the UK. c.brooks@ismacentre.reading.ac.uk)
GITA PERSAND
(Lecturer in finance at the Department of Economics, University of Bristol, in the UK. gita.persand@bristol.ac.uk)
817
Abstract
It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value‐at‐risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.
Citation
BROOKS, C. and PERSAND, G. (2003), "The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates", Journal of Risk Finance, Vol. 4 No. 2, pp. 29-42. https://doi.org/10.1108/eb022959
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited