VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

Abdul Hakim and Michael McAleer
Additional contact information
Abdul Hakim: Faculty of Economics, Indonesian Islamic University

No CIRJE-F-676, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers from spot (futures) to futures (spot) markets, and time-varying conditional correlations between futures and their underlying assets. It also finds evidence that the DCC model of Engle (2002) provides slightly better VaR forecasts as compared with the CCC model of Bollerslev (1990) and the BEKK model of Engle and Kroner (1995).

Pages: 27pages
Date: 2009-10
New Economics Papers: this item is included in nep-fmk and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf676.pdf (application/pdf)

Related works:
Working Paper: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds (2009)
Working Paper: VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2009cf676

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