Multi-agent-based VaR forecasting

Tobias Tubbenhauer, Christian Fieberg and Thorsten Poddig

Journal of Economic Dynamics and Control, 2021, vol. 131, issue C

Abstract: We analyze the predictive power of value-at-risk forecasts generated by agent-based models. Specifically, we choose variants of the agent-based models proposed by Brock & Hommes (1998) and Franke & Westerhoff (2012) and calibrate them on the S&P 500 price and return series using a two-step process that enables the models to describe time series dynamics. To obtain a general approximation of the model parameters, our first estimation is conducted with the method of simulated moments. Following this, we apply a rolling window maximum likelihood estimation to obtain the state of the agent-based models at the current time step. The value-at-risk forecasts are then generated by iterating the models forward in time. Our results reveal that agent-based models are not only suitable for value-at-risk forecasting but are also capable of outperforming common benchmark models such as GARCH models. Most notably, we find that agent-based models outperform GARCH models in highly volatile recession periods, making agent-based models the superior choice for value-at-risk forecasting in periods with a high risk of loss.

Keywords: Agent-based modeling; MSM Estimation; VaR Forecasting (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165188921001664
Full text for ScienceDirect subscribers only

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:eee:dyncon:v:131:y:2021:i:c:s0165188921001664

DOI: 10.1016/j.jedc.2021.104231

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().