Bhattacharyya, Malay; Ritolia, Gopal - In: International Review of Financial Analysis 17 (2008) 2, pp. 382-395
This paper constructs a robust Value-at-Risk (VaR) measure for the Indian stock markets by combining two well-known facts about equity return time series -- dynamic volatility resulting in the well-recognized phenomenon of volatility clustering, and non-normality giving rise to fat tails of the...