IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-0-230-29810-1_8.html
   My bibliography  Save this book chapter

The Value of Liquidity and Trading Activity in Forecasting Downside Risk

In: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Author

Listed:
  • Lidia Sanchis-Marco
  • Antonio Rubia

Abstract

In this paper, we analyze the role played by market liquidity and tradingrelated variables in forecasting one-day-ahead “value-at-risk” (VaR). We use the quantile-regression methodology, as this allows us to directly study the effects of the predictive variables on the tail distribution of returns. Our empirical setting builds on the so-called CAViaR model put forward by Engle and Manganelli (2004) and extends it empirically by incorporating further information beyond volatility. The backtesting VaR analysis, based on unconditional and conditional coverage tests, reveals that liquidity and trading variables considerably enhance the VaR performance.

Suggested Citation

  • Lidia Sanchis-Marco & Antonio Rubia, 2011. "The Value of Liquidity and Trading Activity in Forecasting Downside Risk," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 8, pages 194-212, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-29810-1_8
    DOI: 10.1057/9780230298101_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-0-230-29810-1_8. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.