TY  - JOUR
T1  - Generalized-Quasi-Maximum Likelihood Estimator for Conditional
Value at Risk (CVAR): An Analysis in the Iranian Stock Market Data
AU - Hosseinioun, Nargess 
JO  - Research Journal of Applied Sciences
VL  - 11
IS  - 12
SP  - 1454
EP  - 1459
PY  - 2016
DA  - 2001/08/19
SN  - 1815-932x
DO  - rjasci.2016.1454.1459
UR  - https://makhillpublications.co/view-article.php?doi=rjasci.2016.1454.1459
KW  - GARCH
KW  -generalized quasi maximum likelihood estimator
KW  -GJR
KW  -value at risk
KW  -estimateor
AB  - 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.
ER  -