Author(s): Bashir Ahmad Joo, Younis Ahmed Ghulam
This study aims to evaluate the accuracy of the Value at Risk (VaR) model forecast in BRICS main stock market indices using the most popular backtesting techniques. The study employed the ugarchroll package to analyze the data in the R software and applied the two most commonly used tests: Kupiec point of failure and Christofferson tests for backtesting purposes. Kupiec and Christofferson's test with a 95% confidence level demonstrated that the Value at Risk (VaR) model should be used as a risk management tool in BRICS stock indices as forecasts of the VaR model are accurate. The study's findings have practical implications for investors, institutional investors, FIIs, fund managers, hedgers, risk managers, regulators, policymakers, and other participants. These participants were expected to benefit considerably from the empirical findings of this study. These participants can use Value at Risk (VaR) as a risk-management tool for financial control, reporting, investment, and risk management-related decisions.