Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products

Samir Mabrouk

Asian Economic and Financial Review, 2017, vol. 7, issue 1, 63-80

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.

Keywords: Long-range memory; Value at risk; Asymmetry; Fat tail; GARCH. Volatility forecast (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/1540/2188 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:7:y:2017:i:1:p:63-80:id:1540

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().