1. How to submit my research paper? What’s the process for publication of my paper?
The journal receives submitted manuscripts via email only. Please submit your research paper in .doc or .pdf format to the submission email: joams@ejournal.net.

2.Can I submit an abstract?
The journal publishes full research papers. So only full paper submission should be considered for possible publication...[Read More]

VaR Computation of Non-Gaussian Stochastic Model

Hanen Ould Ali and Faouzi Jilani
Faculty of Economics and Management of Tunis B.P 248 El Manar II 2092 Tunis, Tunisia
Abstract—This paper proposes the VaR computation of non-Gaussian stochastic model. The problem of the VaR evaluation comes from the fact that it is not easy to estimate volatility. We present non-Gaussian models using stochastic volatility model where volatility is governed by logarithmic Ornstein-Uhlenbeck process. First, we show how to estimate the volatility with The Kalman filter procedure, and second we show how to extend the classical VaR techniques in an operational way using the stochastic process taking into account the asymmetric and leptokurtic distributions.

Index Terms—VaR, stochastic volatility, Kalman filter, Ornstein-Uhlenbeck process, non-Gaussian distributions

Cite: Hanen Ould Ali and Faouzi Jilani, "VaR Computation of Non-Gaussian Stochastic Model," Journal of Advanced Management Science, Vol. 2, No. 1, pp. 61-64, March 2014. doi: 10.12720/joams.2.1.61-64
Copyright © 2013-2022 Journal of Advanced Management Science, All Rights Reserved