The impact of liquidity on portfolio value-at-risk forecasts

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题名:	The impact of liquidity on portfolio value-at-risk forecasts
作者:	Hung, JC (Hung, Jui-Cheng) Su, JB (Su, Jung-Bin) Chang, MC (Chang, Matthew C.) Wang, YH (Wang, Yi-Hsien)
贡献者:	財金系
关键词:	Value-at-risk illiquidity multivariate GARCH-t and GJR-GARCH-t models accuracy and efficiency
日期:	2019-08
上传时间:	2019-12-23 14:39:08 (UTC+8)
摘要:	Historical crisis events have highlighted the insufficiency of Value-at-Risk (VaR) as a measure of market risk because such metric does not take liquidity into account. Unlike previous studies analyzing with only a single asset, we examine the impact of liquidity on computing VaR forecasts from a portfolio level. To this end, we use multivariate GARCH-t and GJR-GARCH-t models, as compared with univariate models, to seize the liquidity property embedded in individual stock returns and evaluate their accuracy and efficiency in computing VaR forecasts for portfolios with different liquidity levels. The empirical results indicate that computing portfolio VaR forecasts with multivariate models outperform the univariate models for full and subsample periods in terms of accuracy and efficiency evaluations, in particular for less-liquid portfolios. These results suggest the importance of liquidity in computing portfolio VaR forecasts. Ignorance of the impact of liquidity in computing portfolio VaR forecasts might result in inadequate coverage and insufficient market risk capital requirements.
關聯:	APPLIED ECONOMICS 早期取閱: AUG 2019
显示于类别:	[財務金融學系 ] 期刊論文

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