Measuring risk models’ efficiency: the case for the Malaysia market

Zatul Karamah Ahmad Baharul Ulum

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Type :	Article
Subject :	HG Finance
ISSN :	2232-0032/eISSN 0128-0481
Main Author :	Zatul Karamah Ahmad Baharul Ulum
Additional Authors :	Ismail Ahmad Norhana Salamudin
Title :	Measuring risk models’ efficiency: the case for the Malaysia market
Hits :	5

Place of Production :	Tanjong Malim
Publisher :	Fakulti Pengurusan dan Ekonomi
Year of Publication :	2013
Notes :	Vol. 3 (2013): Journal of Contemporary Issues and Thought (JCIT)
Corporate Name :	Perpustakaan Tuanku Bainun
PDF Full Text :	You have no permission to view this item.

Abstract : Perpustakaan Tuanku Bainun

The intention of this paper is to determine the most efficient risk model which can be implemented in diverse business sectors of an economy. The methodology involved using Value-at-Risk (VaR) technique with the integration of GARCH-based representation on three selected non-financial sectors in Malaysia. Using time-series data from 1993 until 2010, the efficiency test namely the Mean Relative Scaled Bias (MRSB) is then conducted. The evidence showed that the VaR forecast integrated with t-distribution GARCH has better capabilities to track movements in true risk exposures thus suggesting it as the most efficient model within specific assumptions and constraints. Keywords Value-at-risk, efficiency test, mean relative scaled biased (two more keywords)

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