FORECASTING VALUE-AT-RISK AND EXPECTED SHORTFALL USING HIGH FREQUENCY DATA MODELING

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EBRAHIMI SEYED BABAK; MOHEBBI NEGIN

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2017 | Volume:9 | Issue:32 Page(s): 35-50

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Title

FORECASTING VALUE-AT-RISK AND EXPECTED SHORTFALL USING HIGH FREQUENCY DATA MODELING

Author(s)

EBRAHIMI SEYED BABAK | MOHEBBI NEGIN | Issue Writer Certificate

Keywords

VALUE-AT-RISKQ2

EXPECTED SHORTFALLQ2

LONG MEMORYQ2

GARCHQ3

Abstract

The present study compares the performance of the LONG MEMORY FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period VALUE-AT-RISK and EXPECTED SHORTFALL across 3 industry indices in Tehran Stock Exchange such as chemical, vehicle and metals. The dataset is composed of daily data covering the period from May, 2011 to May, 2015. According to the result of this research accounting for fractional integration in the conditional variance model does not appear to improve the accuracy of the VaR forecasts for the 1-day-ahead, 10-day-ahead and 20-day-ahead forecasting horizons relative to the short memory GARCH specification. Furthermore, the GARCH model has a lower quadratic loss between actual returns and ES forecasts, for the majority of the indices considered in 1-day, 10-day and 20-day forecasting horizons. Therefore, a LONG MEMORY volatility model compared to a short memory GARCH model does not appear to improve the VaR and ES forecasting accuracy, even for longer forecasting horizons.

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APA: Copy

EBRAHIMI, SEYED BABAK, & MOHEBBI, NEGIN. (2017). FORECASTING VALUE-AT-RISK AND EXPECTED SHORTFALL USING HIGH FREQUENCY DATA MODELING. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(32), 35-50. SID. https://sid.ir/paper/200309/en

Vancouver: Copy

EBRAHIMI SEYED BABAK, MOHEBBI NEGIN. FORECASTING VALUE-AT-RISK AND EXPECTED SHORTFALL USING HIGH FREQUENCY DATA MODELING. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2017;9(32):35-50. Available from: https://sid.ir/paper/200309/en

IEEE: Copy

SEYED BABAK EBRAHIMI, and NEGIN MOHEBBI, “FORECASTING VALUE-AT-RISK AND EXPECTED SHORTFALL USING HIGH FREQUENCY DATA MODELING,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 32, pp. 35–50, 2017, [Online]. Available: https://sid.ir/paper/200309/en

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