IDEAS home Printed from https://ideas.repec.org/a/rpo/ripoec/v91y2001i2p79-132.html
   My bibliography  Save this article

Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio

Author

Listed:
  • Asmara Jamaleh

    (Servizio Studi e Analisi Finanziaria Banca Commerciale Italiana, Milano)

Abstract

A Self-Exciting Threshold AutoRegressive (SETAR) model is applied to the Italian stock market volatility, to obtain volatility forecasts and Value-at-Risk (VaR) estimates. There is almost nothing dealing with Italian markets in the literature of Threshold models, which have never been used for VaR purposes up to now. The SETAR model's performance is compared to competitive linear and GARCH specifications and to the JP Morgan's RiskMetrics™ method. Here, the SETAR model shows the best performance in predicting volatility and VaR values, thanks to its ability in capturing some major volatility's dynamics. Only the Threshold model is able to distinguish an extraordinary from a persistent market shock. Its superiority is more evident during critical market periods. As also for the tendency to over/underestimate VaR values, the SETAR model presents major advantages. This is crucial in investment decisions. The model selection is performed using Tsay's procedure, whose effectiveness is successfully tested here.

Suggested Citation

  • Asmara Jamaleh, 2001. "Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio," Rivista di Politica Economica, SIPI Spa, vol. 91(2), pages 79-132, February.
  • Handle: RePEc:rpo:ripoec:v:91:y:2001:i:2:p:79-132
    as

    Download full text from publisher

    File URL: http://www.rivistapoliticaeconomica.it/2001/febbraio/jamaleh.php
    Download Restriction: Payment required

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    Statistics

    Access and download statistics

    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:rpo:ripoec:v:91:y:2001:i:2:p:79-132. 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: (Sabrina Marino). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.