AN APPRAISAL ON THE PERFORMANCE OF FIGARCH MODELS IN THE ESTIMATION OF VAR: THE CASE STUDY OF TEHRAN STOCK EXCHANGE

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KESHAVARZ HADAD GH.R.; SAMADI BAGHER

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2009 | Volume:44 | Issue:86 Page(s): 193-235

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Title

AN APPRAISAL ON THE PERFORMANCE OF FIGARCH MODELS IN THE ESTIMATION OF VAR: THE CASE STUDY OF TEHRAN STOCK EXCHANGE

Author(s)

KESHAVARZ HADAD GH.R. | SAMADI BAGHER | Issue Writer Certificate

Keywords

ARFIMAQ2

GARCH MODELSQ2

LONG MEMORYQ2

VALUE AT RISKQ2

TEHRAN STOCK EXCHANGE INDEXQ3

Abstract

Risk prediction plays an increasing role in financial risk management.This study aims to investigate existence of asymmetry and LONG MEMORY volatility in TEHRAN STOCK EXCHANGE INDEX daily data over period of 1998-2006.1467 daily index returns are used for volatility modeling via GARCH (Long & short Memory) processes for both normal and t-student innovations. The specification and forecasting performance of competing volatility models are compared by standard criteria. Considering the evidence of LONG MEMORY, ARFIMA models are developed for conditional mean and both long and short memory models are used for conditional variance. We find that LONG MEMORY models (particularly with normal distribution of innovations) perform more accurately. Also empirical results indicate that GARCH MODELS have confidential performance with t-student innovation. In sample and out-of-sample VALUE AT RISK calculation resulted by FIGARCH models are more accurate than those of generated by traditional GARCH, particularly in 2.5% critical region.

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APA: Copy

KESHAVARZ HADAD, GH.R., & SAMADI, BAGHER. (2009). AN APPRAISAL ON THE PERFORMANCE OF FIGARCH MODELS IN THE ESTIMATION OF VAR: THE CASE STUDY OF TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI, 44(86), 193-235. SID. https://sid.ir/paper/11926/en

Vancouver: Copy

KESHAVARZ HADAD GH.R., SAMADI BAGHER. AN APPRAISAL ON THE PERFORMANCE OF FIGARCH MODELS IN THE ESTIMATION OF VAR: THE CASE STUDY OF TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI[Internet]. 2009;44(86):193-235. Available from: https://sid.ir/paper/11926/en

IEEE: Copy

GH.R. KESHAVARZ HADAD, and BAGHER SAMADI, “AN APPRAISAL ON THE PERFORMANCE OF FIGARCH MODELS IN THE ESTIMATION OF VAR: THE CASE STUDY OF TEHRAN STOCK EXCHANGE,” TAHGHIGHAT-E-EGHTESADI, vol. 44, no. 86, pp. 193–235, 2009, [Online]. Available: https://sid.ir/paper/11926/en

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