Advanced Search
MyIDEAS: Login to save this article or follow this journal

Forecasting volatility using range data: analysis for emerging equity markets in Latin America

Contents:

Author Info

  • Manabu Asai
  • Iv�n Brugal

Abstract

The article suggests a simple but effective approach for estimating value-at-risk thresholds using range data, working with the filtered historical simulation. For this purpose, we consider asymmetric heterogeneous Autoregressive Moving Average (ARMA) model for log-range, which captures the leverage effects and the effects from daily, weekly and monthly horizons. The empirical analysis on stock market indices on the US, Mexico, Brazil and Argentina shows that 1% and 5% Value at Risk (VaR) thresholds based on one-step-ahead forecasts of log-range are satisfactory for the period includes the global financial crisis.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1080/09603107.2011.617694
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 22 (2012)
Issue (Month): 6 (March)
Pages: 461-470

as in new window
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:461-470

Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20

Order Information:
Web: http://www.tandfonline.com/pricing/journal/RAFE20

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:461-470. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.