VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
AbstractThe paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers from spot (futures) to futures (spot) markets, and time-varying conditional correlations between futures and their underlying assets. It also finds evidence that the DCC model of Engle (2002) provides slightly better VaR forecasts as compared with the CCC model of Bollerslev (1990) and the BEKK model of Engle and Kroner (1995).
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-676.
Date of creation: Oct 2009
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Other versions of this item:
- Hakim, A. & McAleer, M.J., 2009. "VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," Econometric Institute Report EI 2009-32, Erasmus University Rotterdam, Econometric Institute.
- Abdul Hakim & Michael McAleer, 2009. "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series CARF-F-178, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- NEP-ALL-2009-11-27 (All new papers)
- NEP-FMK-2009-11-27 (Financial Markets)
- NEP-FOR-2009-11-27 (Forecasting)
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