This study investigates calendar anomalies： day-of-the-week effect and seasonal effect in the Value-at-Risk （VaR） analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical propertie...This study investigates calendar anomalies： day-of-the-week effect and seasonal effect in the Value-at-Risk （VaR） analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical properties are examined and a comprehensive set of diagnostic checks are made on the two decades of AAPL daily stock returns. Combing the Extreme Value Approach together with a statistical analysis, it is learnt that the lowest VaR occurs on Fridays and Mondays typically. Moreover, high Q4 and Q3 VaR are observed during the test period. These results are valuable for anyone who needs evaluation and forecasts of the risk situation in AAPL. Moreover, this methodology, which is applicable to any other stocks or portfolios, is more realistic and comprehensive than the standard normal distribution based VaR model that is commonly used.展开更多
文摘This study investigates calendar anomalies： day-of-the-week effect and seasonal effect in the Value-at-Risk （VaR） analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical properties are examined and a comprehensive set of diagnostic checks are made on the two decades of AAPL daily stock returns. Combing the Extreme Value Approach together with a statistical analysis, it is learnt that the lowest VaR occurs on Fridays and Mondays typically. Moreover, high Q4 and Q3 VaR are observed during the test period. These results are valuable for anyone who needs evaluation and forecasts of the risk situation in AAPL. Moreover, this methodology, which is applicable to any other stocks or portfolios, is more realistic and comprehensive than the standard normal distribution based VaR model that is commonly used.
