Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models

Abstract

Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks. Method: Applying criteria information, this study shows that the best model for measuring the volatility of coin’s futures return, during the period 2013/12/17 to 2016/10/27, is MA(1)-FIAPARCH-CHUNG (2, d, 1). According to the applied model, the VAR, for short- and long-term positions, was calculated and, then, to confirm the accuracy of the applied VAR, Kupic test was run. Resutls: Our findings indicate that asymmetry evaluation and long-term memory of return volatility can ensure a more accurate VAR model which enhances the quality of the risk management process in the Tehran Futures Market.

Keywords

• value-at-risk
• long run memory
• volatility
• futures contract
• coin