This paper examines value-at-risk (VaR) analysis performance in the context of the market volatility of five Asian emerging stock markets. From the performance of VaR analysis, we found that the skewed Student’s t APARCH model is the best for incorporating the skewness and excess kurtosis of stock returns, and the appropriate assumption of return distribution can provide more accurate VaR models for Asian stock markets. This means that risk-averse investors or portfolio managers of long and
short trading positions in Asian stock markets can build optimal margin levels using the VaR computation based on the skewed Student’s t APARCH model.