Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach
Subject Areas : Financial engineering
Mohammad Hamed
Khan Mohammadi
1
(Assistant Professor accounting group, , Damavand Branch,Islamic Azad University, Damavand, Iran)
mehrnoosh
ebrahimi
2
(Ph.D. Student of Accounting, Science and Research Branch, Qeshm International Campus, Islamic Azad University, Qeshm,Iran.)
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.
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