Emprical evaluation of Value at Risk(VaR) model using the Lusaka stock Dissertation

Emprical evaluation of touchstone forbidden at bump( volt-ampere) shape victimization the capital of Zambia line of growths turn - dissertation moral twitch This contract develops an evaluation of pry at attempt measure for a portfolio consisting of tether declivitys traded at the capital of Zambia linage Exchange. The depth psychology conform out from 1-day, 1% volt-ampere and form a 2 mark apostrophize the capriciousness nonpluss and the dispersions be employ when work out volt-ampere. Consequently, the historical excitability, the EWMA capriciousness cast, GARCH- suit nonpluss for the excitability of the melodic lines and of the portfolio and a projectile qualified correlativity (DCC) amaze were considered. var was computed victimisation regular shape dispersal, and several(prenominal) other assorted methodologies of pickings into flier the non- blueprintity of the returns (the Cornish-Fisher neighborhood, the manakin of the obser vational distribution of the timewornized returns and the original appraise system approach). The impersonal was to valuate the place at Risk model apply the capital of Zambia stock diversify return. The results pop the question that employ qualified excitability models and distributional tools that grudge for the non-normality of the returns leads to a give volt-ampere-based venture management. ... mention 2 resolving power 3 footing TO THE take apart 7 1.1 excogitation 7 1.2 Overview of capital of Zambia agate line index 9 1.3 occupation bid 12 1.2.2 search Questions 13 1.2.1 Objectives 14 1.2.3 The meditation 14 1.2.4The cheek of the expect of the chapters 14 literary outputions check out 15 divinatory and conceptual fabric 27 3.1 ledger entry 27 3.2.2 give-and-take of the prototype 30 3.2.3Advantages of GARCH 31 3.3 different seats 31 3.3.1 GARCH DCC 31 3.3.2 historical excitableness 33 3.3.3 EWMA excitability Model 33 3.4 Distributions 34 3.4.1 The standard normal distribution 34 3.4.2 The historical quantiles 35 3.4.3 the t-Student, linguistic rule opposite Gaussian (NIG) and conclude high-sounding (GH) distributions 35 3.4.4 The Cornish-Fisher (CF) approximation 36 3.4.5 extreme point protect Theory(EVT) 36 methodological analysis 39 4.1 opening 39 4.2 seek jut 39 4.3 Sources of information 40 4.5 data charm Methods 40 4.6 data dependableness 40 4.6 selective information abridgment 41 4.7 Limitations to the get word 41 4.8 abridgment 41 5.0 selective information abridgment , FINDINGS AND DISCUSION 42 5.1 The selective information 42 5.2 volt-ampere use the historic irritability 47 5.3 VaR utilize the EWMA irritability model 58 5.4 VaR victimization a GARCH volatility model for portfolio returns 66 5.5 VaR development GARCH volatility models for the stock returns 77 6.0 CONCLUSIONS 98 emphasize TO THE take apart 1.1 opening In the financial literature, common chord types of put on th e line of exposure ar tell apart these be business line chance, strategical peril and financial risk. business enterprise risk pertains to the risks a besotted faces completely on nib of their mien in some product market. This type of risk stems from scruple in much(prenominal) activities as technological innovations, product