Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958919 | Journal of Empirical Finance | 2007 | 12 Pages |
Abstract
This article uses the FIGARCH(1,d,1) models to calculate daily Value-at-Risk (VaR) for T-bond interest rate futures returns of long and short trading positions based on the normal, Student-t, and skewed Student-t innovations distributions. The empirical results show that based on Kupiec LR failure rate tests, in-sample and out-of-sample VaR values calculated using FIGARCH(1,d,1) model with skewed Student-t innovations are more accurate than those generated using traditional GARCH(1,1) models. Moreover, we find that the in-sample values of VaR are subject to a significant positive bias, as pointed out by Inui et al. [Inui, K., Kijima, M., Kitano, A., 2003. VaR is subject to a significant positive bias, working paper].
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ping-Tsung Wu, Shwu-Jane Shieh,