Research Journal of Applied Sciences

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Generalized-Quasi-Maximum Likelihood Estimator for Conditional Value at Risk (CVAR): An Analysis in the Iranian Stock Market Data

Nargess Hosseinioun
Page: 1454-1459 | Received 21 Sep 2022, Published online: 21 Sep 2022

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Abstract

Value at risk is a statistical risk management technique that monitors and quantifies the risk level associated with an investment portfolio. The maximum amount of loss over a specified time horizon with a given confidence level is usually measured by this technique. The presented study aimed at estimating the conditional value at risk for Tehran stock market data through two steps. First the volatility parameter is estimated with a generalized-Quasi-Maximum Likelihood Estimator (gQMLE) and then empirical quantile of the residuals is estimated using the estimated rescaled innovations.

How to cite this article:

Nargess Hosseinioun. Generalized-Quasi-Maximum Likelihood Estimator for Conditional Value at Risk (CVAR): An Analysis in the Iranian Stock Market Data.
DOI: https://doi.org/10.36478/rjasci.2016.1454.1459
URL: https://www.makhillpublications.co/view-article/1815-932x/rjasci.2016.1454.1459