Value-at-risk for the USD/ZAR exchange rate : the variance-gamma model

dc.contributor.authorLionel Establet, Kemda,
dc.contributor.authorChun-Kai, Huang,
dc.contributor.authorKnowledge, Chinhamu,
dc.date.accessioned2021-10-08T07:16:01Z
dc.date.available2021-10-08T07:16:01Z
dc.date.issued2015
dc.description.abstractA country’s level of exchange risk is closely linked to its financial stability, on a macro-economic scale. South African exchange rates, in particular, have a significant impact on imports, inflation, consumer prices and monetary policies. Consequently, it is imperative for economists and investors to assess accurately the associated exchange risks. Exchange rates, like most financial time series, are leptokurtic and contradict the classical Gaussian assumption. We therefore introduce subclasses of the generalised hyperbolic distribution as alternative models and contrast these with the normal distribution. We conclude that the variance-gamma model is the most robust for describing the log-returns of daily USD/ZAR exchange rates and their related Value-at-Risk (VaR) estimates. The model selection methodologies utilised in our analyses include the robust Kolmogorov-Smirnov test and the Akaike information criterion. Backtesting on the adequacy of VaR estimates is also performed using the Kupiec likelihood ratio test.
dc.identifier.apacitationLionel Establet, K., Chun-Kai, H., & Knowledge, C. (2015). Value-at-risk for the USD/ZAR exchange rate : the variance-gamma model. <i>South African Journal of Surgery</i>, 18(4), 551 - 566. http://hdl.handle.net/11427/34746en_ZA
dc.identifier.chicagocitationLionel Establet, Kemda, Huang Chun-Kai, and Chinhamu Knowledge "Value-at-risk for the USD/ZAR exchange rate : the variance-gamma model." <i>South African Journal of Surgery</i> 18, 4. (2015): 551 - 566. http://hdl.handle.net/11427/34746en_ZA
dc.identifier.citationLionel Establet, K., Chun-Kai, H. & Knowledge, C. 2015. Value-at-risk for the USD/ZAR exchange rate : the variance-gamma model. <i>South African Journal of Surgery.</i> 18(4):551 - 566. http://hdl.handle.net/11427/34746en_ZA
dc.identifier.issn1015-8812
dc.identifier.issn2222-3436
dc.identifier.ris TY - Journal Article AU - Lionel Establet, Kemda, AU - Chun-Kai, Huang, AU - Knowledge, Chinhamu, AB - A country’s level of exchange risk is closely linked to its financial stability, on a macro-economic scale. South African exchange rates, in particular, have a significant impact on imports, inflation, consumer prices and monetary policies. Consequently, it is imperative for economists and investors to assess accurately the associated exchange risks. Exchange rates, like most financial time series, are leptokurtic and contradict the classical Gaussian assumption. We therefore introduce subclasses of the generalised hyperbolic distribution as alternative models and contrast these with the normal distribution. We conclude that the variance-gamma model is the most robust for describing the log-returns of daily USD/ZAR exchange rates and their related Value-at-Risk (VaR) estimates. The model selection methodologies utilised in our analyses include the robust Kolmogorov-Smirnov test and the Akaike information criterion. Backtesting on the adequacy of VaR estimates is also performed using the Kupiec likelihood ratio test. DA - 2015 DB - OpenUCT DP - University of Cape Town IS - 4 J1 - South African Journal of Surgery LK - https://open.uct.ac.za PY - 2015 SM - 1015-8812 SM - 2222-3436 T1 - Value-at-risk for the USD/ZAR exchange rate : the variance-gamma model TI - Value-at-risk for the USD/ZAR exchange rate : the variance-gamma model UR - http://hdl.handle.net/11427/34746 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/34746
dc.identifier.vancouvercitationLionel Establet K, Chun-Kai H, Knowledge C. Value-at-risk for the USD/ZAR exchange rate : the variance-gamma model. South African Journal of Surgery. 2015;18(4):551 - 566. http://hdl.handle.net/11427/34746.en_ZA
dc.language.isoeng
dc.publisher.departmentDepartment of Statistical Sciences
dc.publisher.facultyFaculty of Science
dc.sourceSouth African Journal of Surgery
dc.source.journalissue4
dc.source.journalvolume18
dc.source.pagination551 - 566
dc.source.urihttps://dx.doi.org/10.17159/2222-3436/2015/v18n4a8
dc.subject.otherSouth Africa
dc.subject.otherUSD/ZAR exchange rate
dc.subject.otherValue-at-Risk
dc.subject.othervariance-gamma distribution
dc.subject.othergeneralised hyperbolic distribution
dc.subject.otherrobust Kolmogorov-Smirnov
dc.subject.otherAkaike
dc.subject.otherKupiec
dc.titleValue-at-risk for the USD/ZAR exchange rate : the variance-gamma model
dc.typeJournal Article
uct.type.publicationResearch
uct.type.resourceJournal Article
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