Long-memory in Stock Index Futures Markets: A Value-at-Risk Approach

Title	Long-memory in Stock Index Futures Markets: A Value-at-Risk Approach
Creator	Tang,Ta-Lun; Shieh,Shwu-Jane 謝淑貞
Key Words	FIGARCH; Value-at-risk; Kupiec LR test; HYGARCH
Date	2005-12
Date Issued	3-Dec-2008 13:54:41 (UTC+8)
Summary	In this paper, we investigate the long memory properties for closing prices of three stock index futures markets. The FIGARCH (1, d, 1) and HYGARCH (1, d, 1) models with normal, Student-t, and skewed Student-t distributions for S&P500, Nasdaq100, and Dow Jones daily prices are estimated first. Then the value-at-risks are calculated by the estimated models. The empirical results show that for the three stock index futures, the HYGARCH (1, d, 1) models with skewed Student-t distribution perform better based on the Kupiec LR tests. In particular, for the S&P500 and Nasdag 100 futures prices.
Relation	Physica A: Statistical Mechanics and its Applications,366(1),437-448
Type	article
DOI	http://dx.doi.org/http://dx.doi.org/10.1016/j.physa.2005.10.017

dc.creator (作者)	Tang,Ta-Lun; Shieh,Shwu-Jane	en_US
dc.creator (作者)	謝淑貞	-
dc.date (日期)	2005-12	en_US
dc.date.accessioned	3-Dec-2008 13:54:41 (UTC+8)	-
dc.date.available	3-Dec-2008 13:54:41 (UTC+8)	-
dc.date.issued (上傳時間)	3-Dec-2008 13:54:41 (UTC+8)	-
dc.identifier.uri (URI)	https://nccur.lib.nccu.edu.tw/handle/140.119/12502	-
dc.description.abstract (摘要)	In this paper, we investigate the long memory properties for closing prices of three stock index futures markets. The FIGARCH (1, d, 1) and HYGARCH (1, d, 1) models with normal, Student-t, and skewed Student-t distributions for S&P500, Nasdaq100, and Dow Jones daily prices are estimated first. Then the value-at-risks are calculated by the estimated models. The empirical results show that for the three stock index futures, the HYGARCH (1, d, 1) models with skewed Student-t distribution perform better based on the Kupiec LR tests. In particular, for the S&P500 and Nasdag 100 futures prices.	-
dc.format	application/	en_US
dc.language	en	en_US
dc.language	en-US	en_US
dc.language.iso	en_US	-
dc.relation (關聯)	Physica A: Statistical Mechanics and its Applications,366(1),437-448	en_US
dc.subject (關鍵詞)	FIGARCH; Value-at-risk; Kupiec LR test; HYGARCH	-
dc.title (題名)	Long-memory in Stock Index Futures Markets: A Value-at-Risk Approach	en_US
dc.type (資料類型)	article	en
dc.identifier.doi (DOI)	10.1016/j.physa.2005.10.017	en_US
dc.doi.uri (DOI)	http://dx.doi.org/http://dx.doi.org/10.1016/j.physa.2005.10.017	en_US