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.
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.
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
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