2020
DOI: 10.36095/banxico/di.2020.10
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Asymmetric Volatility Effects in Risk Management: An Empirical Analysis using a Stock Index Futures

Abstract: In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 Index and the Mexican Stock Exchange. According to the results, the IV model is superior in terms of precision compared to the ARCH-type mod… Show more

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