Modeling of Modified Value-At-Risk for the Skewed Student-T Distribution

• Sukono, Wahyuddin, Nunung Nurhasanah, Jumadil Saputra, Yuyun Hidayat 1Department of Mathematics Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, 45363 Jatinangor, Indonesia 2Faculty of Economics and Business, Universitas Malikussaleh, Lhokseumawe, Aceh, Indonesia 3Faculty of Economics and Business, Universitas Singaperbangsa, Karawang, 41362 Jawa Barat, Indonesia 4School of Social and Economic Development, Universiti Malaysia Terengganu, 21030 Kuala Nerus, Terengganu, Malaysia 5Department of Statistics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, 45363 Jatinangor, Indonesia

Abstract

This paper discusses the modeling of Modified Value-at-Risk
(MVaR) for asset returns of skewed Student-T distribution. MVaR
for skewed Student-T distribution is a special form of MVaR 

models of nonnormal distribution. As a result, this model can be
used to determine the amount of market risk. Student-T distribution
is, especially used for asset returns. In conclusion, the performance
of each model Value-at-Risk applied in accordance with the
distribution of stock returns is quite good. It is shown that the
values of QPS are in the interval [0, 2], and tend to be close to zero.