Modeling and forecasting intraday VaR of an exchange rate portfolio

Autor(es)

Abbara, Omar ^{[1, 2]} ; Zevallos, Mauricio ^[2]

Afiliação do(s) autor(es)

^[1] Canvas Capital SA, Rua Prof Atilio Innocenti, 165, 15th Floor, BR-04538000 Sao Paulo, SP - Brazil

^[2] Univ Estadual Campinas, Dept Stat, Rua Sergio Buarque de Holanda 651, BR-3083859 Campinas, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: JOURNAL OF FORECASTING; v. 37, n. 7, p. 729-738, NOV 2018.
• Citações Web of Science: 1

Resumo

The main task of this work was to predict, for the next 15 minutes, the value-at-risk (VaR) of an equally weighted portfolio composed of four exchange rates against the American dollar: Japanese yen, euro, Australian dollar and Swiss franc. The dataset consists of transaction prices of each asset recorded every 15 minutes, from January 7, 2013 to December 31, 2013. For each time series, the multiplicative-component generalized autoregressive conditional heteroskedasticity model of Engle and Sokalska (Journal of Financial Econometrics, 2012, 10, 54-83) is fitted, and the dependence among the series is modeled by a D-vine pair-copula. VaR predictions are estimated based on simulated observations of the fitted model following the proposal of Berg and Aas (European Journal of Finance, 2009, 15, 639-659). The proposed method presents good results in terms of out-of-sample intraday VaR forecasting. (AU)

• Processo FAPESP: 13/00506-1 - Séries temporais, ondaletas e análise de dados funcionais
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Temático