Value-at-Risk Forecasts in GCC Stock Markets Under Oil Shocks

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Gharaati, Shahabeddin | 2014

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 47241 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
This thesis has two section. In the first section, this thesis studies the dynamic behavior of daily oil prices and finds strong evidence of GARCH as well as conditional jump behavior. This implies that conditional heter oscedasticity is present and the empirical distribution of oil price changes has heavy tails. Thus, the oil price consider ably sensitive to news and does not settle around along-run trend.In the second section This thesis investigates the out-of-sample value-at-risk (VaR) forecasts in gulf cooperation council stock markets by considering both oil volatilities and the developed GARCH model construction. The em-pirical results indicate that the Oil GARCH model with explanatory conditionals variance variables is better than ordinary GARCH models for VaR. forecasting
Keywords:
Energy Market ; Value at Risk ; Oil Shocks ; Autoregressive Jump Intensity (ARJI)Model ; Conditional Variance ; Persian Gulf Cooperation Council Countries