2026-05-05T22:54:37.796Z http://ezaposleni.singidunum.ac.rs/rest/sciNaucniRezultati/oai

ezaposleni.singidunum.ac.rs/rest/sciNaucniRezultati/oai:1:2427 2014-04-27T17:57:36Z 1

Empirical estimation and comparison of normal and Student-t linear VaR on the Belgrade Stock Exchange 2014 http://ezaposleni.singidunum.ac.rs/rest/sciNaucniRezultati/oai/record/1/2427 Z. Jeremić I. Terzić In this paper we describe theoretical and empirical linear VaR for the cases where the stock portfolio returns and the risk factor returns follow a normal distribution and Student t distribution. The main aim of this study is to show the effect that leptokurtosis has on VaR estimate. Using the daily Belex 15 data from January 2011 to January 2014 we estimate 1-day Normal and Student t VaR for different significance levels. The results show that for low significance levels, the normality assumption can overestimate VaR if the return distribution is leptokurtic. On the other hand, for higher significance levels, the normality assumption can seriously underestimate VaR. In the case of Serbian stock market the assumption of Student's t-distribution leads to VaR estimates that are more representative of historical behavior of Belex 15 than normal linear VaR. conferenceObject Sinteza 2014