Value at risk analysis in stock exchange index returns: Case of Mongolian stock exchange

Increasing the number and the variety of financial tools regarding to the globalization and rapid technological changes which increases the competition in the financial markets. For this competitive financial market, investors and policymakers intend to minimize the uncertainty and the risk. To achieve this purpose, financial institutions had been developed new methods and software programs to manage the risk. The most popular software is Risk Metrics which was introduced by J.P Morgan.According to the variety of risks the risk measurement techniques also change. In this project, market risk of the Mongolian Stock Exchange measured in context of the VaR methodology by using homoskedasticity and heteroskedasticity models.