Study Data from University of Cape Town Update Knowledge of Risk Management (A comparative cross-regime analysis on the performance of GARCH-based…

Study Data from University of Cape Town Update Knowledge of Risk Management (A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators discuss new findings in Risk Management. According to news reporting originating in Rondebosch, South Africa, by VerticalNews journalists, research stated, "A topic of recent interest in financial risk management is the predictive accuracy of Value-at-risk (VaR) models for adequate capitalization under different market conditions (or regimes). This article assesses the forecasting performance of popular GARCH-based volatility models in the context of VaR estimation."

The news reporters obtained a quote from the research from the University of Cape Town, "In particular, we conduct a cross-regime analysis between time periods whereby market conditions experiences a shift. Stock returns data from the FTSE/JSE Africa All Share index were selected for the evaluation of both long and short positions of trade. Despite prior findings of the long memory models dominating in the South African financial market, we conclude that such dominance does not necessary hold when assessed under different regimes of the market."

According to the news reporters, the research concluded: "Moreover, our findings indicated a need for implementations of model switching policies, which may provide significant improvements in forecasting and minimize chances of VaR estimates falling short of actual trading losses."

For more information on this research see: A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange. Risk Management-Journal of Risk Crisis and Disaster, 2016;18(2-3):89-110. Risk Management-Journal of Risk Crisis and Disaster can be contacted at: Palgrave Macmillan Ltd, Brunel Rd Bldg, Houndmills, Basingstoke RG21 6XS, Hants, England.

Our news correspondents report that additional information may be obtained by contacting of Cape Town, African Collaborat Quantitat Finance & Risk Res A, ZA-7701 Rondebosch, South Africa. Additional authors for this research include P. Mwangi, B. Panulo and C.S. Huang.

Keywords for this news article include: Rondebosch, South Africa, Africa, Risk Management, University of Cape Town.

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