Abstract— This paper presents the value-at-risk (VaR) analysis of J.C. Penney Company Inc. (JCP) stock daily negative log returns between 1993 and 2018. The statistical properties of JCP are thoroughly examined and a series of diagnostic tests are conducted to check the conditions of the time series data over the two decades. The GARCH and EGARCH models with normal distribution and Student’s t-distribution are used to estimate the volatility and VaR of the stock. By analyzing VaR, we show that there is currently a high risk of investing in JCP stock. In addition, this paper examines the calendar effects and seasonality of JCP stock through the fundamental properties of the data as well as the VaR. We compare the performance of the stock in four quarters which further confirms our result that JCP stock is at immense risk at this point in time. These results are valuable for anyone interested in evaluating and forecasting JCP stock. The methodology we use is applicable to any other stock that meets our test conditions and is more accurate and realistic in predicting volatility and VaR than the commonly used standard normal distribution based VaR model.
AD Publications is a rapidly growing academic publisher in the fields of Engineering, Medical-Health, Environmental Science and Agriculture Research. AD Publications is a registered organization broad-based open access and publishes most exciting researches with respect to the subjects of our journals. The Journals is being indexed and abstracted by all major global current awareness and alerting services.
The organization aims at undertaking, co- coordinating and promoting research and development. It provides professional and academic guidance in the field of basic education, Higher Education as well in the Technical Education. Our Aims is to Promote and support, High Quality basic, Scientific Research and development in fields of Engineering, Medical-Health, Environmental Science and Agriculture Research and to Generate Public awareness, provide advice to scholar’s researchers and communicate research outcomes.