Capturing value-at-risk in futures markets: a revised filtered historical simulation approach

This study modifies the filtered historical simulation developed by Barone-Adesi et al, using a general power weighted moving average estimator simulation to forecast value-at-risk (VaR). Our proposed approach is relatively simple and computationally straightforward compared with those of McNeil and...

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Bibliographic Details
Published inJournal of risk model validation Vol. 6; no. 4; pp. 67 - 93
Main Authors Changchien, Chang-Cheng, Lin, Chu-Hsiung, Kao, Wei-Shun
Format Journal Article
LanguageEnglish
Published London Incisive Media Limited 2012
Subjects
Accuracy
Crises
Forecasting techniques
Futures market
Historical account
Kurtosis
Loans
Mathematical models
Methods
Monte Carlo simulation
Parameter estimation
Simulation
Software
Stochastic models
Studies
Value at risk
Volatility
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Summary:This study modifies the filtered historical simulation developed by Barone-Adesi et al, using a general power weighted moving average estimator simulation to forecast value-at-risk (VaR). Our proposed approach is relatively simple and computationally straightforward compared with those of McNeil and Frey and Barone-Adesi et al. Using backtesting of historical daily return series of five futures prices, we show that our proposed method, in terms of unconditional coverage test, would provide an improvement in the precision of VaR forecasts in times of subprime mortgage crisis. [PUBLICATION ABSTRACT]
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ISSN:1753-9579
1753-9579
DOI:10.21314/JRMV.2012.095