An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR)
Autor(a) principal: | |
---|---|
Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UCB |
Texto Completo: | https://bdtd.ucb.br:8443/jspui/handle/tede/2412 |
Resumo: | Given the importance of market risk measures, such as value at risk (VaR), in this paper, we compare traditionally accepted volatility forecast models, in particular, the GARCH family models, with more recent models such as HAR-RV and GAS in terms of the accuracy of their VaR forecasts. For this purpose, we use intraday prices, at the 5-minute frequency, of the S&P 500 index and the General Electric stocks, for the period from January 4, 2010 to December 30, 2013. Based on the tick loss function and the Diebold-Mariano test, we did not find difference in the predictive performance of the HAR-RV and GAS models in comparison with the Exponential GARCH (EGARCH) model, considering daily VaR forecasts at the 1% and 5% significance levels for the return series of the S&P 500 index. Regarding the return series of General Electric, the 1% VaR forecasts obtained from the HAR-RV models, assuming a t-Student distribution for the daily returns, are more accurate than the forecasts of the EGARCH model. In the case of the 5% VaR forecasts, all variations of the HAR-RV model perform better than the EGARCH. Our empirical study provides evidence of the good performance of HAR-RV models in forecasting value at risk. |
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T??foli, Paula Virg??niahttp://lattes.cnpq.br/9625957902840622http://lattes.cnpq.br/4864033710986980Vargas, Rafael de Morais2018-06-18T18:54:14Z2018-02-27VARGAS, Rafael de Morais. An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR). 2018. 44 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018.https://bdtd.ucb.br:8443/jspui/handle/tede/2412Given the importance of market risk measures, such as value at risk (VaR), in this paper, we compare traditionally accepted volatility forecast models, in particular, the GARCH family models, with more recent models such as HAR-RV and GAS in terms of the accuracy of their VaR forecasts. For this purpose, we use intraday prices, at the 5-minute frequency, of the S&P 500 index and the General Electric stocks, for the period from January 4, 2010 to December 30, 2013. Based on the tick loss function and the Diebold-Mariano test, we did not find difference in the predictive performance of the HAR-RV and GAS models in comparison with the Exponential GARCH (EGARCH) model, considering daily VaR forecasts at the 1% and 5% significance levels for the return series of the S&P 500 index. Regarding the return series of General Electric, the 1% VaR forecasts obtained from the HAR-RV models, assuming a t-Student distribution for the daily returns, are more accurate than the forecasts of the EGARCH model. In the case of the 5% VaR forecasts, all variations of the HAR-RV model perform better than the EGARCH. Our empirical study provides evidence of the good performance of HAR-RV models in forecasting value at risk.Dada a import??ncia de medidas de risco de mercado, como o valor em risco (VaR), nesse trabalho, comparamos modelos de previs??o de volatilidade tradicionalmente mais aceitos, em particular, os modelos da fam??lia GARCH, com modelos mais recentes, como o HAR-RV e o GAS, em termos da acur??cia de suas previs??es de VaR. Para isso, usamos pre??os intradi??rios, na frequ??ncia de 5 minutos, do ??ndice S&P 500 e das a????es da General Electric, para o per??odo de 4 de janeiro de 2010 a 30 de dezembro de 2013. Com base na fun????o perda tick e no teste de Diebold-Mariano, n??o encontramos diferen??a no desempenho preditivo dos modelos HAR-RV e GAS em rela????o ao modelo Exponential GARCH (EGARCH), considerando as previs??es de VaR di??rio a 1% e 5% de signific??ncia para a s??rie de retornos do ??ndice S&P 500. J?? com rela????o ?? s??rie de retornos da General Electric, as previs??es de VaR a 1% obtidas a partir dos modelos HAR-RV, assumindo uma distribui????o t-Student para os retornos di??rios, mostram-se mais acuradas do que as previs??es do modelo EGARCH. No caso das previs??es de VaR a 5%, todas as varia????es do modelo HAR-RV apresentam desempenho superior ao EGARCH. Nosso estudo emp??rico traz evid??ncias do bom desempenho dos modelos HAR-RV na previs??o de valor em risco.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-06-18T18:53:22Z No. of bitstreams: 1 RafaeldeMoraisVargasDissertacao2018.pdf: 2179808 bytes, checksum: e2993cd35f13b4bd6411d626aefa0043 (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-06-18T18:54:14Z (GMT) No. of bitstreams: 1 RafaeldeMoraisVargasDissertacao2018.pdf: 2179808 bytes, checksum: e2993cd35f13b4bd6411d626aefa0043 (MD5)Made available in DSpace on 2018-06-18T18:54:14Z (GMT). No. of bitstreams: 1 RafaeldeMoraisVargasDissertacao2018.pdf: 2179808 bytes, checksum: e2993cd35f13b4bd6411d626aefa0043 (MD5) Previous issue date: 2018-02-27application/pdfhttps://bdtd.ucb.br:8443/jspui/retrieve/5723/RafaeldeMoraisVargasDissertacao2018.pdf.jpgporUniversidade Cat??lica de Bras??liaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Gest??o e Neg??ciosVari??ncia realizadaHeterogeneous Autoregressive Model of Realized Volatility - HAR-RVPrevis??o de volatilidadeGeneralized Autoregressive Score Model - GASPrevis??o de VaRRealized varianceVolatility forecastVaR forecastValor em Risco - VaRCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIAAn??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR)info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBLICENSElicense.txtlicense.txttext/plain; charset=utf-81905https://200.214.135.178:8443/jspui/bitstream/tede/2412/1/license.txt75558dcf859532757239878b42f1c2c7MD51ORIGINALRafaeldeMoraisVargasDissertacao2018.pdfRafaeldeMoraisVargasDissertacao2018.pdfapplication/pdf2179808https://200.214.135.178:8443/jspui/bitstream/tede/2412/2/RafaeldeMoraisVargasDissertacao2018.pdfe2993cd35f13b4bd6411d626aefa0043MD52TEXTRafaeldeMoraisVargasDissertacao2018.pdf.txtRafaeldeMoraisVargasDissertacao2018.pdf.txttext/plain78263https://200.214.135.178:8443/jspui/bitstream/tede/2412/3/RafaeldeMoraisVargasDissertacao2018.pdf.txt626bf02b495f6e46c43916af7572fdb5MD53THUMBNAILRafaeldeMoraisVargasDissertacao2018.pdf.jpgRafaeldeMoraisVargasDissertacao2018.pdf.jpgimage/jpeg5186https://200.214.135.178:8443/jspui/bitstream/tede/2412/4/RafaeldeMoraisVargasDissertacao2018.pdf.jpgc6ed010bbb859e40f8ed4fed0c192d6cMD54tede/24122018-06-19 14:30:46.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 Digital de Teses e Dissertaçõeshttps://bdtd.ucb.br:8443/jspui/ |
dc.title.por.fl_str_mv |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) |
title |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) |
spellingShingle |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) Vargas, Rafael de Morais Vari??ncia realizada Heterogeneous Autoregressive Model of Realized Volatility - HAR-RV Previs??o de volatilidade Generalized Autoregressive Score Model - GAS Previs??o de VaR Realized variance Volatility forecast VaR forecast Valor em Risco - VaR CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
title_short |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) |
title_full |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) |
title_fullStr |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) |
title_full_unstemmed |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) |
title_sort |
An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR) |
author |
Vargas, Rafael de Morais |
author_facet |
Vargas, Rafael de Morais |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
T??foli, Paula Virg??nia |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/9625957902840622 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/4864033710986980 |
dc.contributor.author.fl_str_mv |
Vargas, Rafael de Morais |
contributor_str_mv |
T??foli, Paula Virg??nia |
dc.subject.por.fl_str_mv |
Vari??ncia realizada Heterogeneous Autoregressive Model of Realized Volatility - HAR-RV Previs??o de volatilidade Generalized Autoregressive Score Model - GAS Previs??o de VaR Realized variance Volatility forecast VaR forecast Valor em Risco - VaR |
topic |
Vari??ncia realizada Heterogeneous Autoregressive Model of Realized Volatility - HAR-RV Previs??o de volatilidade Generalized Autoregressive Score Model - GAS Previs??o de VaR Realized variance Volatility forecast VaR forecast Valor em Risco - VaR CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.description.abstract.eng.fl_txt_mv |
Given the importance of market risk measures, such as value at risk (VaR), in this paper, we compare traditionally accepted volatility forecast models, in particular, the GARCH family models, with more recent models such as HAR-RV and GAS in terms of the accuracy of their VaR forecasts. For this purpose, we use intraday prices, at the 5-minute frequency, of the S&P 500 index and the General Electric stocks, for the period from January 4, 2010 to December 30, 2013. Based on the tick loss function and the Diebold-Mariano test, we did not find difference in the predictive performance of the HAR-RV and GAS models in comparison with the Exponential GARCH (EGARCH) model, considering daily VaR forecasts at the 1% and 5% significance levels for the return series of the S&P 500 index. Regarding the return series of General Electric, the 1% VaR forecasts obtained from the HAR-RV models, assuming a t-Student distribution for the daily returns, are more accurate than the forecasts of the EGARCH model. In the case of the 5% VaR forecasts, all variations of the HAR-RV model perform better than the EGARCH. Our empirical study provides evidence of the good performance of HAR-RV models in forecasting value at risk. |
dc.description.abstract.por.fl_txt_mv |
Dada a import??ncia de medidas de risco de mercado, como o valor em risco (VaR), nesse trabalho, comparamos modelos de previs??o de volatilidade tradicionalmente mais aceitos, em particular, os modelos da fam??lia GARCH, com modelos mais recentes, como o HAR-RV e o GAS, em termos da acur??cia de suas previs??es de VaR. Para isso, usamos pre??os intradi??rios, na frequ??ncia de 5 minutos, do ??ndice S&P 500 e das a????es da General Electric, para o per??odo de 4 de janeiro de 2010 a 30 de dezembro de 2013. Com base na fun????o perda tick e no teste de Diebold-Mariano, n??o encontramos diferen??a no desempenho preditivo dos modelos HAR-RV e GAS em rela????o ao modelo Exponential GARCH (EGARCH), considerando as previs??es de VaR di??rio a 1% e 5% de signific??ncia para a s??rie de retornos do ??ndice S&P 500. J?? com rela????o ?? s??rie de retornos da General Electric, as previs??es de VaR a 1% obtidas a partir dos modelos HAR-RV, assumindo uma distribui????o t-Student para os retornos di??rios, mostram-se mais acuradas do que as previs??es do modelo EGARCH. No caso das previs??es de VaR a 5%, todas as varia????es do modelo HAR-RV apresentam desempenho superior ao EGARCH. Nosso estudo emp??rico traz evid??ncias do bom desempenho dos modelos HAR-RV na previs??o de valor em risco. |
description |
Given the importance of market risk measures, such as value at risk (VaR), in this paper, we compare traditionally accepted volatility forecast models, in particular, the GARCH family models, with more recent models such as HAR-RV and GAS in terms of the accuracy of their VaR forecasts. For this purpose, we use intraday prices, at the 5-minute frequency, of the S&P 500 index and the General Electric stocks, for the period from January 4, 2010 to December 30, 2013. Based on the tick loss function and the Diebold-Mariano test, we did not find difference in the predictive performance of the HAR-RV and GAS models in comparison with the Exponential GARCH (EGARCH) model, considering daily VaR forecasts at the 1% and 5% significance levels for the return series of the S&P 500 index. Regarding the return series of General Electric, the 1% VaR forecasts obtained from the HAR-RV models, assuming a t-Student distribution for the daily returns, are more accurate than the forecasts of the EGARCH model. In the case of the 5% VaR forecasts, all variations of the HAR-RV model perform better than the EGARCH. Our empirical study provides evidence of the good performance of HAR-RV models in forecasting value at risk. |
publishDate |
2018 |
dc.date.accessioned.fl_str_mv |
2018-06-18T18:54:14Z |
dc.date.issued.fl_str_mv |
2018-02-27 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
status_str |
publishedVersion |
format |
masterThesis |
dc.identifier.citation.fl_str_mv |
VARGAS, Rafael de Morais. An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR). 2018. 44 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018. |
dc.identifier.uri.fl_str_mv |
https://bdtd.ucb.br:8443/jspui/handle/tede/2412 |
identifier_str_mv |
VARGAS, Rafael de Morais. An??lise de previs??es de volatilidade para modelos de Valor em Risco (VaR). 2018. 44 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018. |
url |
https://bdtd.ucb.br:8443/jspui/handle/tede/2412 |
dc.language.iso.fl_str_mv |
por |
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por |
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openAccess |
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Universidade Cat??lica de Bras??lia |
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Programa Stricto Sensu em Economia de Empresas |
dc.publisher.initials.fl_str_mv |
UCB |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
Escola de Gest??o e Neg??cios |
publisher.none.fl_str_mv |
Universidade Cat??lica de Bras??lia |
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