Title: An empirical comparison of alternative models in estimating Value-at-Risk: evidence and application from the LSE

Authors: Everton Dockery, Miltos Efentakis

Addresses: University of Portsmouth Business School, Portsmouth, P01 3DE, UK. ' Durham Business School, University of Durham, Durham DA1 3LB, UK

Abstract: This paper compares a select number of Value-at-Risk (VaR) models using daily data from the London stock exchange for estimating the model-based VaR. The period covers volatile market conditions triggered by a host of events that induced market uncertainty. Our results provide an indication of the degree of accuracy of the various methods and discuss issues of model selection. The empirical findings suggest that the Equally Weighted Moving Average (EWMA) model can furnish more accurate estimated VaR than the GARCH methods, including the popular Historical Simulation (HS) approach, by altering the estimation horizon.

Keywords: risk measurement; risk management; value-at-risk; VaR models; London stock exchange; market uncertainty; volatile markets.

DOI: 10.1504/IJMEF.2008.019222

International Journal of Monetary Economics and Finance, 2008 Vol.1 No.2, pp.201 - 218

Published online: 02 Jul 2008 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article