Empirical application of normal mixture GARCH and value-at-risk estimation

Zetty Ain Kamaruzzaman, Zaidi Isa

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Normal mixture (NM) GARCH model can capture time variation in both conditional skewness and kurtosis. In this paper, we present the general framework of Normal mixture GARCH (1,1). An empirical application is presented using Malaysia weekly stock market returns. This paper provides evidence that, for modeling stock market returns, two-component Normal mixture GARCH (1,1) model perform better than Normal, symmetric and skewed Student's t-GARCH models. This model can quantify the volatility corresponding to stable and crash market circumstances. We also consider Value-at-Risk (VaR) estimation for Normal mixture GARCH model.

Original languageEnglish
Title of host publicationAIP Conference Proceedings
PublisherAmerican Institute of Physics Inc.
Pages453-459
Number of pages7
Volume1602
ISBN (Print)9780735412361
DOIs
Publication statusPublished - 2014
Event3rd International Conference on Mathematical Sciences, ICMS 2013 - Kuala Lumpur, Malaysia
Duration: 17 Dec 201319 Dec 2013

Other

Other3rd International Conference on Mathematical Sciences, ICMS 2013
CountryMalaysia
CityKuala Lumpur
Period17/12/1319/12/13

Fingerprint

Malaysia
kurtosis
crashes
skewness
volatility
students

Keywords

  • Garch model
  • Market Behavior
  • Market Risk
  • Normal Mixture

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Kamaruzzaman, Z. A., & Isa, Z. (2014). Empirical application of normal mixture GARCH and value-at-risk estimation. In AIP Conference Proceedings (Vol. 1602, pp. 453-459). American Institute of Physics Inc.. https://doi.org/10.1063/1.4882525

Empirical application of normal mixture GARCH and value-at-risk estimation. / Kamaruzzaman, Zetty Ain; Isa, Zaidi.

AIP Conference Proceedings. Vol. 1602 American Institute of Physics Inc., 2014. p. 453-459.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Kamaruzzaman, ZA & Isa, Z 2014, Empirical application of normal mixture GARCH and value-at-risk estimation. in AIP Conference Proceedings. vol. 1602, American Institute of Physics Inc., pp. 453-459, 3rd International Conference on Mathematical Sciences, ICMS 2013, Kuala Lumpur, Malaysia, 17/12/13. https://doi.org/10.1063/1.4882525
Kamaruzzaman ZA, Isa Z. Empirical application of normal mixture GARCH and value-at-risk estimation. In AIP Conference Proceedings. Vol. 1602. American Institute of Physics Inc. 2014. p. 453-459 https://doi.org/10.1063/1.4882525
Kamaruzzaman, Zetty Ain ; Isa, Zaidi. / Empirical application of normal mixture GARCH and value-at-risk estimation. AIP Conference Proceedings. Vol. 1602 American Institute of Physics Inc., 2014. pp. 453-459
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