MEASURING RISK MODELS' EFFICIENCY: THE CASE FOR THE MALAYSIA MARKET

  • Zatul Karamah binti Ahmad Baharul Ulum Universiti Malaysia Sabah
  • Hj. Ismail Bin Ahmad Universiti Teknologi MARA
  • Norhana Binti Salamudin Universiti Teknologi MARA
Keywords: Value-at-risk, Efficiency test, Mean relative scaled biased

Abstract

The intention of this paper is to determine the most efficient risk model which can be implemented in diverse business sectors of an economy. The methodology involved using Value-at-Risk (VaR) technique with the integration of GARCH-based representation on three selected non-financial sectors in Malaysia. Using time-series data from 1993 until 2010, the efficiency test namely the Mean Relative Scaled Bias (MRSB) is then conducted. The evidence showed that the VaR forecast integrated with t-distribution GARCH has better capabilities to track movements in true risk exposures thus suggesting it as the most efficient model within specific assumptions and constraints.

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Published
2019-03-06
How to Cite
binti Ahmad Baharul Ulum, Z. K., Bin Ahmad, H. I., & Binti Salamudin, N. (2019). MEASURING RISK MODELS’ EFFICIENCY: THE CASE FOR THE MALAYSIA MARKET. Journal of Contemporary Issues and Thought, 3, 114-126. Retrieved from https://ejournal.upsi.edu.my/index.php/JCIT/article/view/985