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| Natura: | Artículo científico |
| Lingua: | en |
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Universidad de Talca
2007
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| Accesso online: | https://www.redalyc.org/articulo.oa?id=39903502 |
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| _version_ | 1866557160599584768 |
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| author | Guillermo Benavides P. |
| author_facet | Guillermo Benavides P. |
| contents | GARCH Processes and Value at Risk: An Empirical Analysis for Mexican Interest Rate Futures Guillermo Benavides P. Economía y Finanzas GARCH Mexico Bootstrapping Value at Risk interest rates In this research paper GARCH processes are applied in order to estimate Value at Risk (VaR)for an interest rate futures portfolio. According to several documents in the literature, GARCH models tendto overestimate VaR because of volatility persistence. The main objective here is to put to test if GARCHmodels actually overestimate VaR. The analysis is carried out for several time-horizons for the abovementioned asset, which has trading at the Mexican Derivatives Exchange. To analyze the VaR with timehorizons of more than one trading day Real-World Densities (RWD) are estimated applying GARCHprocesses. The results show that GARCH models are relatively accurate for time horizons of one tradingday. However, the volatility persistence captured by these models is reflected with relatively high VaR estimatesfor longer time horizons. In terms of Risk Management this is considered undesirable given that not-optimalamounts of capital must be set aside in order to meet Minimum Capital Risk Requirements for futuresportfolios. These results have also implications for short-term interest rate forecasts given that RWD areestimated. 2007 artículo científico 0716-1921 https://www.redalyc.org/articulo.oa?id=39903502 en http://www.redalyc.org/revista.oa?id=399 Panorama Socioeconómico application/pdf Universidad de Talca Panorama Socioeconómico (Chile) Num.35 Vol.25 |
| format | Artículo científico |
| id | redalyc_39903502 |
| language | en |
| publishDate | 2007 |
| publisher | Universidad de Talca |
| spellingShingle | GARCH Processes and Value at Risk: An Empirical Analysis for Mexican Interest Rate Futures Guillermo Benavides P. Economía y Finanzas GARCH Mexico Bootstrapping Value at Risk interest rates GARCH Processes and Value at Risk: An Empirical Analysis for Mexican Interest Rate Futures Guillermo Benavides P. Economía y Finanzas GARCH Mexico Bootstrapping Value at Risk interest rates In this research paper GARCH processes are applied in order to estimate Value at Risk (VaR)for an interest rate futures portfolio. According to several documents in the literature, GARCH models tendto overestimate VaR because of volatility persistence. The main objective here is to put to test if GARCHmodels actually overestimate VaR. The analysis is carried out for several time-horizons for the abovementioned asset, which has trading at the Mexican Derivatives Exchange. To analyze the VaR with timehorizons of more than one trading day Real-World Densities (RWD) are estimated applying GARCHprocesses. The results show that GARCH models are relatively accurate for time horizons of one tradingday. However, the volatility persistence captured by these models is reflected with relatively high VaR estimatesfor longer time horizons. In terms of Risk Management this is considered undesirable given that not-optimalamounts of capital must be set aside in order to meet Minimum Capital Risk Requirements for futuresportfolios. These results have also implications for short-term interest rate forecasts given that RWD areestimated. 2007 artículo científico 0716-1921 https://www.redalyc.org/articulo.oa?id=39903502 en http://www.redalyc.org/revista.oa?id=399 Panorama Socioeconómico application/pdf Universidad de Talca Panorama Socioeconómico (Chile) Num.35 Vol.25 |
| title | GARCH Processes and Value at Risk: An Empirical Analysis for Mexican Interest Rate Futures |
| topic | Economía y Finanzas GARCH Mexico Bootstrapping Value at Risk interest rates |
| url | https://www.redalyc.org/articulo.oa?id=39903502 |