MARKET RISK ANALYSIS OF THE NON-FINANCIAL SECTORS IN MALAYSIA

Abstract

The objective of this study is to compare Value-at-Risk (VaR) numbers and behaviour patterns among non-financial sectors in Malaysia. The study applies the VaR full valuation approach namely the Monte Carlo Simulation (MCS) that are integrated with GARCH-based models as one of the parameter. The results indicate that the mining sector is most volatile while plantation sector has the lowest risk estimation in most circumstances as both the holding period and confidence level increases. The study also provides further evidences to existing literatures, which identify traditional economic sectors of a country, whether can generate the highest or the lowest level of risk.

Keywords: Value-at-Risk, Monte Carlo Simulation, GARCH models.