Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach

Subject Areas : Financial engineering

Mohammad Hamed Khan Mohammadi ¹ , mehrnoosh ebrahimi ²

1 - Assistant Professor accounting group, , Damavand Branch,Islamic Azad University, Damavand, Iran
2 - Ph.D. Student of Accounting, Science and Research Branch, Qeshm International Campus, Islamic Azad University, Qeshm,Iran.

Received: 2018-02-27 Accepted : 2018-04-09 Published : 2018-12-22

Keywords: Value at risk, Wavelet analysis, TGARCH, Coin future price,

Abstract :

The most common criterion used to measure market risk is the value at risk method. The value at risk is the maximum loss which may occur over a specified time period and considering a specified degree of confidence in a portfolio of assets. In the current research, data related to coin future market price indicator have been considered. The daily data used were gathered over a time period from 2008 to 2017. According to the results obtained from this study, coin future price data did not have a normal distribution; accordingly, the value at risk in this market was estimated using TGARCH method.  Time series was analyzed using wavelet analysis over 7 time periods of 2-128 days. In short time periods the normal distribution outperformed other distributions, but in longer time periods, the skewed-t distribution outperformed other distributions. In the sales situation, this threshold behavior is observed over a longer time period. The hope of increased future price by investors can somewhat justify these behavior changes over time.