Skewed-t-TGARCH Algorithmic Modeling for Risk Measures in Emerging Markets: A Study on Chilean and South African Boards

Whether the opening of international boards in emerging markets will lead to a significant increase in market risk is a topic of common concern in the industry. In this paper, we take Chile and South Africa, which are emerging markets that have successfully opened international boards, as examples to explore the risk impacts of opening international boards on their stock markets, aiming to provide a reference basis for the establishment of international boards in China's A-share market. First, we use the GARCH model under different hypothetical distributions to capture the volatility information of the series, and use VaR for backtesting. Further, the asymmetric characteristics of the volatility of the Chilean and South African stock markets are explored by constructing Skewed-t-TGARCH and Skewed-t-EGARCH models. And the stock market risk is measured by the indicators of stock market trading competitiveness, stock return volatility, and stock price volatility, so as to analyze and quantify in detail the market risk of the Chilean and South African markets, which have successfully opened the international board. We found that (1) the Skewed-t-TGARCH algorithm can more accurately characterize the at-risk value of the stock index series. (2) The market risk of opening an international board increases significantly in the short term and does not change significantly in the long term.