Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations

2004 ◽  
Vol 22 (2) ◽  
pp. 79-95 ◽  
Author(s):  
Yu Chuan Huang ◽  
Bor-Jing Lin
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Value At Risk ◽  
Stock Index ◽  
Stock Index Futures ◽  
Fat Tails ◽  
Index Futures

scholarly journals Research on the Value at Risk of Basis for Stock Index Futures Hedging in China Based on Two-State Markov Process and Semiparametric RS-GARCH Model

2019 ◽  
Vol 2019 ◽  
pp. 1-15
Author(s):  
Liang Wang ◽  
Tingjia Xu ◽  
Longhao Qin ◽  
Chenge Liu
Keyword(s):  
At Risk ◽  
Markov Process ◽  
Value At Risk ◽  
Likelihood Function ◽  
Parametric Method ◽  
Garch Model ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Futures Hedging

This article aims to investigate the Value at Risk of basis for stock index futures hedging in China. Since the RS-GARCH model can effectively describe the state transition of variance in VaR and the two-state Markov process can significantly reduce the dimension, this paper constructs the parameter and semiparametric RS-GARCH models based on two-state Markov process. Furthermore, the logarithm likelihood function method and the kernel estimation with invariable bandwidth method are used for VaR estimation and empirical analysis. It is found that the three fitting errors (MSE, MAD, and QLIKE) of conditional variance calculated by semiparametric model are significantly smaller than that of the parametric model. The results of Kupiec backtesting on VaR obtained by the two models show that the failure days of the former are less than or equal to that of the latter, so it can be inferred that the semiparametric RS-GARCH model constructed in this paper is more effective in estimating the Value at Risk of the basis for Chinese stock index futures. In addition, the mean value and standard deviation of VaR obtained by the semiparametric RS-GARCH model are smaller than that of the parametric method, which can prove that the former model is more conservative in risk estimation.

scholarly journals Asymmetric Volatility Effects in Risk Management: An Empirical Analysis using a Stock Index Futures

2020 ◽  
Author(s):  
Guillermo Benavides
Keyword(s):  
Risk Management ◽  
Empirical Analysis ◽  
Value At Risk ◽  
Stock Exchange ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures ◽  
Minimum Capital ◽  
The Empirical Analysis

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 Index and the Mexican Stock Exchange. According to the results, the IV model is superior in terms of precision compared to the ARCH-type models. Under both methodologies there are relevant statistical gains when asymmetries are included. The referred gains range from 4 to around 150 basis points of minimum capital risk requirements. This research documents the importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management analysis.

scholarly journals Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures

2021 ◽  
Vol 16 (TNEA) ◽  
pp. 1-18
Author(s):  
Guillermo Benavides
Keyword(s):  
Risk Management ◽  
Empirical Analysis ◽  
Value At Risk ◽  
Stock Exchange ◽  
Research Work ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures ◽  
Minimum Capital

The objective of this research work is to show the relevance of asymmetries in estimating volatility. The methodology consists in the application of ARCH-type models and implied volatilities of options (IV) to estimate Value-at-Risk (VaR). These for a portfolio of stock index futures for various time horizons. The empirical analysis is carried out for the futures contracts for the Standard and Poors 500 and Mexican Stock Exchange Indices. According to the results, the IV model is superior in terms of precision compared to the ARCH-type models. It is recommended to use the relevant statistical gains when asymmetries are included with respect to when asymmetries are not used. The referred gains range from 4 to 150 basis points of minimum capital risk requirements. The originality of the present work consists of showing the importance of considering the asymmetric effects with IV and ARCH-type models in volatility forecasts within risk management analysis. It is concluded that the methodology means gains in monetary terms.

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
Sign in / Sign up

Export Citation Format

Share Document