Estimating the conditional tail expectation of Walmart stock data

Authors

  • Hakim Ouadjed Faculty of Economics, Business and Management Sciences, Mustapha Stambouli University of Mascara, Algeria
  • Tawfiq Fawzi Mami Science Institute, Belhadj Bouchaib University Center, Ain Temouchent, Algeria

Abstract

Stable distributions also called Lévy stable, a rich class of heavy tailed distributions are able to capture asymmetry and heavy tails, which are frequently observed in financial data. In this paper we fit an AR(1) process with alpha-stable innovations to the logarithms of volumes of Walmart stock traded daily on the New York Stock Exchange and estimate the TCE (Tail Conditional Expectation) risk measure. 

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Published

2020-07-02

Issue

Volume 11 (2020), Number 1

Section

CRORR Journal Regular Issue

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