Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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VaR(Value at Risk) for Korean Financial Time Series

  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's Univ.) ;
  • Park, J. (Department of Statistics, Sookmyung Women's Univ.)
  • Published : 2005.05.31
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Abstract

Value at Risk(VaR) has been proven useful in finance literature as a tool of risk management(cf. Jorion(2001)). This article is concerned with introducing VaR to various Korean financial time series. Five daily data sets with sample period ranging from 2000 and 2004 such as KOSPI, KOSPI 200, KOSDAQ, KOSDAQ 50 and won-dollar exchange rate are analyzed using GARCH modeling and in turn VaR is obtained for each data.

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