VOLATILITY MODELLING AND PARAMETRIC VALUE-AT-RISK FORECAST ACCURACY: EVIDENCE FROM METAL PRODUCTS

Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 1

Abstract

In this paper, we investigate the one-day-ahead VaR and ES accuracy of four metal daily return series including Aluminium, Copper, Nickel and Zinc. Since, all sample presents volatility clustering, volatility asymmetry, and volatility persistence, we have assessed five GARCH-type models including three fractionary integrated models assuming three alternative distributions (normal, Student-t and skewed Student-t distributions). Estimates results reveal the performance of AR (1) - FIAPARCH model under a skewed Student-t distribution. We have computed one-day ahead VaR and (ES) for both short and long trading positions. Backtesting results show very clearly that the skewed Student-t FIAPARCH model provides the best results for both short and long VaR estimations. These results present several potential implications for metal markets risk quantifications and hedging strategies.

Authors and Affiliations

Samir MABROUK| Faculty of Management and Economic Sciences of Sousse, Sousse University, Tunisia

Keywords

Related Articles

DETERMINANTS OF SAVINGS AND CAPITAL FORMATION AMONG RURAL FARMERS IN ISOKO NORTH LOCAL GOVERNMENT AREA OF DELTA STATE, NIGERIA

This study examined the determinants of savings and capital accumulation in Isoko north local government area of Delta state, Nigeria. It specifically sought to identify the socioeconomic/demographic variables of the rur...

TRADE OPENNESS AND GROWTH IN DEVELOPING COUNTRIES: AN ANALYSIS OF THE RELATIONSHIP AFTER COMPARING TRADE INDICATORS

The paper demonstrates that trade policy liberalization have weakly contributed in improving economic growth in 82 developing countries two years after the Uruguay round and until 2012. The assertion is preceded by a tra...

THE SHORT- AND LONG-TERM EFFECTS OF TRADE TAXES ON VERTICAL SPECIALIZATION

The aim of this study is to evaluate the effects of taxes on international trade in the short- and long-term on vertical specialization in the case of Turkey, which signed the GATT agreement and entered into the customs...

Effects of Microfinance on Micro and Small Enterprises (MSEs) Growth in Nigeria

This paper investigates the effects of microfinance on micro and small business growth in Nigeria. The objectives are: one, to examine the effects of different loan administration practices (in terms of loan size and ten...

ESTIMATE OF POVERTY LINE AND ANALYZE OF POVERTY INDICES IN IRAN (1982-2007)

The purpose of this paper is to answer this question that if poverty status regarding various indices follow similar trends during the war between Iran and Iraq and developmental plans for urban and rural areas in Iran i...

Download PDF file
  • EP ID EP2325
  • DOI -
  • Views 366
  • Downloads 35

How To Cite

Samir MABROUK (2017). VOLATILITY MODELLING AND PARAMETRIC VALUE-AT-RISK FORECAST ACCURACY: EVIDENCE FROM METAL PRODUCTS. Asian Economic and Financial Review, 7(1), 63-80. https://europub.co.uk/articles/-A-2325