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政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/12502

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12502

Title:	Long-memory in Stock Index Futures Markets: A Value-at-Risk Approach
Authors:	Tang,Ta-Lun;Shieh,Shwu-Jane 謝淑貞
Keywords:	FIGARCH;Value-at-risk;Kupiec LR test;HYGARCH
Date:	2005-12
Issue Date:	2008-12-03 13:54:41 (UTC+8)
Abstract:	In this paper, we investigate the long memory properties for closing prices of three stock index futures markets. The FIGARCH (1, d, 1) and HYGARCH (1, d, 1) models with normal, Student-t, and skewed Student-t distributions for S&P500, Nasdaq100, and Dow Jones daily prices are estimated first. Then the value-at-risks are calculated by the estimated models. The empirical results show that for the three stock index futures, the HYGARCH (1, d, 1) models with skewed Student-t distribution perform better based on the Kupiec LR tests. In particular, for the S&P500 and Nasdag 100 futures prices.
Relation:	Physica A: Statistical Mechanics and its Applications,366(1),437-448
Data Type:	article
DOI link:	http://dx.doi.org/http://dx.doi.org/10.1016/j.physa.2005.10.017
DOI:	10.1016/j.physa.2005.10.017
Appears in Collections:	[Department of International Business] Periodical Articles

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