Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models

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Biek Khormizi Mojtaba; RAFEI MEYSAM

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Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2020 | Volume:8 | Issue:1 (28) Page(s): 57-82

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Information Journal Paper

Title

Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models

Author(s)

Biek Khormizi Mojtaba | RAFEI MEYSAM | Issue Writer Certificate

Keywords

Value-at-RiskQ1

Long Run MemoryQ2

VolatilityQ1

Futures ContractQ1

CoinQ1

Abstract

Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks. Method: Applying criteria information, this study shows that the best model for measuring the Volatility of Coin’ s futures return, during the period 2013/12/17 to 2016/10/27, is MA(1)-FIAPARCH-CHUNG (2, d, 1). According to the applied model, the VAR, for short-and long-term positions, was calculated and, then, to confirm the accuracy of the applied VAR, Kupic test was run. Resutls: Our findings indicate that asymmetry evaluation and long-term memory of return Volatility can ensure a more accurate VAR model which enhances the quality of the risk management process in the Tehran Futures Market.

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APA: Copy

Biek Khormizi, Mojtaba, & RAFEI, MEYSAM. (2020). Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 8(1 (28) ), 57-82. SID. https://sid.ir/paper/387682/en

Vancouver: Copy

Biek Khormizi Mojtaba, RAFEI MEYSAM. Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;8(1 (28) ):57-82. Available from: https://sid.ir/paper/387682/en

IEEE: Copy

Mojtaba Biek Khormizi, and MEYSAM RAFEI, “Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 8, no. 1 (28) , pp. 57–82, 2020, [Online]. Available: https://sid.ir/paper/387682/en

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