Evaluating GARCH-EVT based value at risk models on major US, Indian and Japanese indices

Abstract

In the current world economy, the complexity and global nature of financial markets have brought a lot of uncertainties and with that comes a lot of risk. These risk arises when market is facing a grim year leading to downward movement in the asset price level. Therefore, firms must properly estimate capital at risk to prepare for uncertainties. Value-at-risk (VaR) is one such tool for risk calculation. Putting it simply, VaR calculates percentage that a certain portfolio may lose under a given time period and for a given confidence level.