Modelling Value at Risk: Evidence from the Saudi Stock Market

  • Khalafalla Ahmed Mohamed Arabi King Khalid University
  • Hemeda Mohamed Abdelmageed King Khalid University
Keywords: Backtest, Normal distribution, TASI, Value at Risk, worst loss

Abstract

 

This paper aims to estimate Value at Risk (VaR) of Tadawul All Shares Index of Saudi Stock Market (TASI) over the period January 2004 – December 2017. It applies the following methods, empirical quartile, historical simulation (HS), and percentile, parametric via delta normal, GARCH, IGARCH, Monte Carlo simulation and bootstrapping simulation. It uses 5% and 1% critical value under Normal distribution.  Back- testing based on likelihood ratio LR accepted empirical quartile at both five and one percent, while accepting delta normal, historical simulation, percentile, IGARCH, and Monte Carlo at one percent. The worst loss obtained is approximately 4%.

Author Biographies

Khalafalla Ahmed Mohamed Arabi, King Khalid University

College of Administrative and Financial Studies, Department of Business Administration

Professor

Hemeda Mohamed Abdelmageed, King Khalid University

College of Admistrative and Financial Studies, Department of Accounting

Assistant Professor

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Published
2018-07-06
How to Cite
Arabi, K. A. M., & Abdelmageed, H. M. (2018). Modelling Value at Risk: Evidence from the Saudi Stock Market. Archives of Business Research, 6(6), 339-352. https://doi.org/10.14738/abr.66.4696