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Volatility and VaR forecasting in the Madrid Stock Exchange

Spanish Economic Review volume 10, pages 169–196 (2008)Cite this article

Abstract

This paper provides an empirical study to assess the forecasting performance of a wide range of models for predicting volatility and VaR in the Madrid Stock Exchange. The models performance was measured by using different loss functions and criteria. The results show that FIAPARCH processes capture and forecast more accurately the dynamics of IBEX-35 returns volatility. It is also observed that assuming a heavy-tailed distribution does not improve models ability for predicting volatility. However, when the aim is forecasting VaR, we find evidence of that the Student’s t FIAPARCH outperforms the models it nests the lower the target quantile.

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  1. Department of Economics and Quantitative Methods, Westminster Business School, University of Westminster, 35 Marylebone Road, London, NW1 5LS, UK

    Trino-Manuel Ñíguez

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  1. Trino-Manuel Ñíguez
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Ñíguez, TM. Volatility and VaR forecasting in the Madrid Stock Exchange. Span Econ Rev 10, 169–196 (2008). https://doi.org/10.1007/s10108-007-9030-6

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  • DOI: https://doi.org/10.1007/s10108-007-9030-6

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