The effects of risk modelling: Assessing value-at-risk accuracy

QR Code

The effects of risk modelling: Assessing value-at-risk accuracy

This study examines Value-at-Risk (VaR) models that are integrated with several volatility representations to estimate the market risk for seven nonfinancial sectors traded on the first board of the Malaysian stock exchange. In a sample that spanned 19 years from1993 until 2012 for construction, con...

Full description

Bibliographic Details
Published in:	Institutions and Economies
Main Author:	Baharul-Ulum Z.K.A.; Ahmad I.; Salamudin N.; Daud N.M.
Format:	Article
Language:	English
Published:	Faculty of Economics and Administration 2015
Online Access:	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938689976&partnerID=40&md5=0505624fcb551a05228a8760ceec50d4

Similar Items

The effect of awareness and perceived risk on the technology acceptance model (TAM): mobile banking in Yemen
by: Mutahar A.M.; Daud N.M.; Ramayah T.; Isaac O.; Aldholay A.H.
Published: (2018)

Perceived risk and tourist’s trust: the roles of perceived value and religiosity
by: 2-s2.0-85109385354
Published: (2022)

Hazard Identification, Risk Assessment and Risk Control (HIRARC) Accidents at Power Plant
by: 2-s2.0-84983520452
Published: (2016)

Risk assessment of piling work for mass rapid transit (MRT) construction project
by: Ahmad A.C.; Kamar I.F.M.; Wahid A.M.A.; Ismail M.F.N.S.
Published: (2019)

Cybersecurity Vulnerabilities in Smart Grids with Solar Photovoltaic: A Threat Modelling and Risk Assessment Approach
by: 2-s2.0-85184894473
Published: (2023)

The Dynamics of Continuance Mandatory Usage: Availability, Level of Security and Accuracy in the Ever-Changing Landscape of Maritime Technology
by: Daud N.M.
Published: (2024)

Assessing the competency of compliance officer knowledge in mitigating terrorism financing risks: Malaysian perspective
by: Ismail N.H.; Syed Mustapha Nazri S.N.F.; Zolkaflil S.
Published: (2025)

The effect of awareness and perceived risk on the technology acceptance model (TAM): mobile banking in Yemen
by: 2-s2.0-85048127113
Published: (2018)

Genre Analysis of Risk Management Reports by an Islamic Financial Institution in Malaysia
by: Aziz R.A.; Abas N.; Yusob K.F.; Yusof N.M.
Published: (2022)

In-hospital risk stratification algorithm of Asian elderly patients
by: Kasim S.; Malek S.; Cheen S.; Safiruz M.S.; Ahmad W.A.W.; Ibrahim K.S.; Aziz F.; Negishi K.; Ibrahim N.
Published: (2022)

Assessment of Human Health Risk in Groundwater at Rural and Agriculture Areas in Sabah, Malaysia
by: 2-s2.0-85076518123
Published: (2019)

The sources and ecological risk assessment of elemental pollution in sediment of Linggi estuary, Malaysia
by: 2-s2.0-85056474937
Published: (2018)

The Application of International Road Assessment Programme (iRAP) as a Road Infrastructure Risk Assessment Tool
by: 2-s2.0-85137146957
Published: (2022)

Protocol of health screening related to occupational diseases in 100000 workers in critical sectors: a cross-sectional study with worksite risk assessment
by: Yasin S.M.; Ismail N.; Masngut M.I.; Abdullah N.N.; Yasin N.E.; Omar M.; Kasim S.S.; Saiman A.; Muzaini K.; Elias A.; Samsudin E.Z.; Ismail A.I.; Shahadan S.; Abdullah K.H.; Ismail I.; Taib K.M.; Mohamad M.; Ruslan N.-H.; Malek M.A.A.; Anuar M.R.; Zabidi N.A.; Mohamed A.S.; Kamarudin N.I.; Manan M.H.A.; Khai A.F.A.; Noor A.F.A.; Azzani M.
Published: (2024)

Money laundering risk judgement by compliance officers at financial institutions in Malaysia: the effects of customer risk determinants and regulatory enforcement
by: 2-s2.0-85126068670
Published: (2023)

Hazard and Risk of Highway Maintenance Works: Case Study of PLUS Expressways
by: Ahmad A.C.; Zin I.N.M.; Rosli M.N.; Wahid A.M.A.; Kamar I.F.M.
Published: (2016)

Comparison of prediction fuzzy modeling towards high-risk symptoms of lung cancer
by: Zakaria A.S.; Shafi M.A.; Mohd Zim M.A.; Musa A.N.
Published: (2024)

Utilizing a Low-Cost Air Quality Sensor: Assessing Air Pollutant Concentrations and Risks Using Low-Cost Sensors in Selangor, Malaysia
by: Khaslan Z.; Nadzir M.S.M.; Johar H.; Siqi Z.; Sulong N.A.; Mohamed F.; Majumdar S.; Suris F.N.A.; Hawari N.S.S.L.; Borah J.; Gee M.O.C.; Wahab M.I.A.; Bakar M.A.A.; Ariff N.M.; Japeri A.Z.U.-S.M.; Nor M.F.F.M.; Rabuan U.; Ali S.H.M.; Murugan B.; Cayetano M.G.
Published: (2024)

Examining the Role of Personality Traits, Digital Technology Skills and Competency on the Effectiveness of Fraud Risk Assessment among External Auditors
by: 2-s2.0-85149563457
Published: (2022)

The impact of ESG risks on bank stability in Indonesia
by: Defung F.; Yudaruddin R.; Ambarita N.P.; Yahya N.C.; Bahrudin N.Z.
Published: (2024)

Geriatric Nutrition Risk Index is comparable to the mini nutritional assessment for assessing nutritional status in elderly hospitalized patients
by: 2-s2.0-85058641290
Published: (2019)

Accuracy of different dental age assessment methods to determine chronological age among children with special needs
by: Ismail A.F.; Adnan N.H.; Suhaidi N.N.S.; Mokhtar I.W.; Yusof M.Y.P.M.; Mallineni S.K.
Published: (2024)

Operational risk measurement
by: 2-s2.0-84872969158
Published: (2012)

Assessing the competency of compliance officer knowledge in mitigating terrorism financing risks: Malaysian perspective
by: Ismail, et al.
Published: (2025)

Empowering decision-making in cardiovascular care: Exploratory data analysis and predictive models for heart attack risk
by: Khan M.R.B.; Islam G.M.N.; Ng P.K.; Zainuddin A.A.; Lean C.P.; Al-Fattah J.; Kamarudin S.I.
Published: (2024)

ENHANCING SHARIAH GOVERNANCE: THE KEY RISK INDICATORS FOR MANAGING SHARIAH NON-COMPLIANCE RISK IN ISLAMIC FINANCIAL INSTITUTIONS
by: Noor N.S.M.; Muhammad H.; Arifin J.; Ghazali P.L.; Razak R.A.
Published: (2024)

Reliability Assessment of Indicators Measuring the Impact of Enterprise Risk Management on Performance of Higher Education Institutions in Sri Lanka
by: Perera A.A.S.; Rahmat A.K.; Khatibi A.; Azam S.M.F.
Published: (2022)

MITIGATING HEALTH RISKS THROUGH BIOSORPTION: EFFECTIVE REMOVAL OF NICKEL (II) AND CHROMIUM (VI) FROM WATER WITH ACID-TREATED POTATO PEELS
by: Khir N.H.M.; Salleh N.F.M.; Ghafar N.A.; Shukri N.M.
Published: (2024)

Accuracy Assessment of DEM from UAV and TanDEM-X Imagery
by: 2-s2.0-85065488312
Published: (2019)

SPATIAL ANALYSIS OF ROAD TRAFFIC ACCIDENT HOTSPOTS AND PATTERNS IN MUSCAT, OMAN: AN EXPLORATORY RISK MANAGEMENT ASSESSMENT
by: 2-s2.0-85210931161
Published: (2024)

Heart Disease Risk Prediction: A Mobile Application Integrating Machine Learning Models
by: Bakhtiar A.F.; Nordin S.; Mohd Hirol Anuar M.A.H.
Published: (2024)

The Accuracy Verification of Recent Global Geopotential Model based on GNSS/Levelling Data on Ground Control Points in Johor
by: Qi L.Z.; Yazid N.M.; Sebastian J.M.A.; Zaki A.H.M.; Din A.H.Md.; Pa’suya M.F.
Published: (2024)

In-hospital mortality risk stratification of Asian ACS patients with artificial intelligence algorithm
by: Kasim S.; Malek S.; Song C.; Ahmad W.A.W.; Fong A.; Ibrahim K.S.; Safiruz M.S.; Aziz F.; Hiew J.H.; Ibrahim N.
Published: (2022)

Developments in Risk Management in Islamic Finance: A Review
by: Al Rahahleh N.; Ishaq Bhatti M.; Najuna Misman F.
Published: (2019)

The impact of religious sensitivity on brand trust, equity and values of fast food industry in Malaysia
by: Mohamed R.N.; Daud N.M.
Published: (2012)

Assessing drivers of web technology investment in Malaysia service industry: An application of technological, organizational, and environmental (TOE) model
by: Mohamed I.S.; Omar N.; Daud N.M.; Marthandan G.
Published: (2009)

Risk management framework for Zakat Institution
by: 2-s2.0-85195347892
Published: (2024)

Risk Factors on Civil Engineering Projects
by: 2-s2.0-85142281157
Published: (2022)

Mangrove as a Natural Barrier to Environmental Risks and Coastal Protection
by: Asari N.; Suratman M.N.; Mohd Ayob N.A.; Abdul Hamid N.H.
Published: (2021)

Scrub Typhus and its Risk Factors in Asian Countries: A Meta-analysis
by: Wahil M.S.A.; Ishak M.F.M.; Mahmood N.A.B.; Azhar Z.I.; Jeffree M.S.; Rahim S.S.S.A.; Ghazi H.F.; Hassan M.R.
Published: (2021)