ESTIMATING CONDITIONAL VAR USING SYMMETRIC AND NON-SYMMETRIC AUTOREGRESSIVE MODELS IN OLD AND OIL MARKETS

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FALLAHPOUR SAEID; REZVANI FATEMEH; RAHIMI MOHAMMADREZA

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2015 | Volume:8 | Issue:26 Page(s): 1-18

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Title

ESTIMATING CONDITIONAL VAR USING SYMMETRIC AND NON-SYMMETRIC AUTOREGRESSIVE MODELS IN OLD AND OIL MARKETS

Author(s)

FALLAHPOUR SAEID | REZVANI FATEMEH | RAHIMI MOHAMMADREZA | Issue Writer Certificate

Keywords

VALUE AT RISKQ2

CONDITIONAL VALUE AT RISKQ1

AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY MODELSQ3

COHERENT RISK MEASUREQ3

BACKTESTINGQ3

Abstract

Price volatility on gold and oil market is the top news all the time. Global economy is affected by those markets volatility. Because of the domestic investor tendency in gold market and feasibility of investing on oil by Energy Exchange in Iran, in this paper we focus on the volatility of gold and oil return. The implemented method is one-day ahead out of sample forecast by the conditional VALUE AT RISK. The goal of this paper is to answer which of the models; GARCH, ECHARCH, and TARCH is best at forecasting the CVaR for gold and oil return. We estimate the value by assuming normal and t-student distribution. The results show that the TGARH (1, 1) model specifications are good option for forecasting the CVaR in oil market by t-student distribution.

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APA: Copy

FALLAHPOUR, SAEID, REZVANI, FATEMEH, & RAHIMI, MOHAMMADREZA. (2015). ESTIMATING CONDITIONAL VAR USING SYMMETRIC AND NON-SYMMETRIC AUTOREGRESSIVE MODELS IN OLD AND OIL MARKETS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 8(26), 1-18. SID. https://sid.ir/paper/200115/en

Vancouver: Copy

FALLAHPOUR SAEID, REZVANI FATEMEH, RAHIMI MOHAMMADREZA. ESTIMATING CONDITIONAL VAR USING SYMMETRIC AND NON-SYMMETRIC AUTOREGRESSIVE MODELS IN OLD AND OIL MARKETS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2015;8(26):1-18. Available from: https://sid.ir/paper/200115/en

IEEE: Copy

SAEID FALLAHPOUR, FATEMEH REZVANI, and MOHAMMADREZA RAHIMI, “ESTIMATING CONDITIONAL VAR USING SYMMETRIC AND NON-SYMMETRIC AUTOREGRESSIVE MODELS IN OLD AND OIL MARKETS,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 8, no. 26, pp. 1–18, 2015, [Online]. Available: https://sid.ir/paper/200115/en

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