The Measurement of Risk based on the Criterion of Value at Risk via Model of GARCH (A Study of Stock of Listeَd Companies in Tehran Stock Exchange (TSE) in the Cement Industry)

Abstract

All of investors in the Stock Exchange face risks. Thus, the measurement of risk is among the most important matters to investors. This study deals with the measurement of risk by criterion of Value at Risk. VaR was measured by using a GARCH model. The stock of the listed companies in Tehran Stock Exchange for the cement industry and the time period of the study is the price of cement companies between the years of 1389 to 1391. The results show that the GARCH model has good performance in estimating VaR in stock of listed companies in Tehran Stock Exchange for the cement industry and it can be concluded that the GARCH (1,1) model with the t-student distribution for the majority of listed companies is optimal. The results of this research can lead to favorable outcomes for risk management decisions.

Keywords

• Risk
• Value at Risk
• GARCH Model
• Tehran Stock Exchange