Backtesting VaR under the COVID-19 sudden changes in volatility

Castillo, Brenda; León, Ángel; Ñíguez, Trino-Manuel

doi:10.1016/j.frl.2021.102024

Cited by 10 publications

(9 citation statements)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…To examine its volatility, Rudolf et al (2021) studied volatility stability based on the return levels of each Bitcoin on major indexes traded with BTC and gold by using GARCH model. Castillo et al (2021) Dow Jones and S&P500 had undergone as much as a 30% decrease in values during March 2020 (Iqbal et al 2021). However, BTC has reacted opposite to the news of the COVID-19 outbreak and seems to outperform other assets (Iqbal et al 2021).…”

Section: Covid-19 and Btc Marketmentioning

confidence: 99%

“…To examine its volatility, Rudolf et al (2021) studied volatility stability based on the return levels of each Bitcoin on major indexes traded with BTC and gold by using GARCH model. Castillo et al (2021) studied the impact of the COVID-19 pandemic on the conditional variance of stock returns by using the EGARCH-D-ST model. They showed the VaR-backtesting performance comparison between the EGARCH-D-ST model.…”

Section: Covid-19 and Btc Marketmentioning

confidence: 99%

See 1 more Smart Citation

The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic

Likitratcharoen

Kronprasert

Wiwattanalamphong

et al. 2021

Risks

View full text Add to dashboard Cite

Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation. Cryptocurrency, such as Bitcoin, has become a new currency tool for speculators and investors, and it is expected to be used in future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In this paper, we showed the results of the predicted daily loss of investment by using the historical simulation VaR model, the delta-normal VaR model, and the Monte Carlo simulation VaR model with the confidence levels of 99%, 95%, and 90%. This paper displayed backtesting methods to investigate the accuracy of VaR models, which consisted of the Kupiec’s POF and the Kupiec’s TUFF statistical testing results. Finally, Christoffersen’s independence test and Christoffersen’s interval forecasts evaluation showed effectiveness in the predictions for the robustness of VaR models for each confidence level.

show abstract

Section: Covid-19 and Btc Marketmentioning

confidence: 99%

“…To examine its volatility, Rudolf et al (2021) studied volatility stability based on the return levels of each Bitcoin on major indexes traded with BTC and gold by using GARCH model. Castillo et al (2021) studied the impact of the COVID-19 pandemic on the conditional variance of stock returns by using the EGARCH-D-ST model. They showed the VaR-backtesting performance comparison between the EGARCH-D-ST model.…”

Section: Covid-19 and Btc Marketmentioning

confidence: 99%

The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic

Likitratcharoen

Kronprasert

Wiwattanalamphong

et al. 2021

Risks

View full text Add to dashboard Cite

show abstract

“… Castillo et al (2021) , Zhang and Hamori (2021) and Díaz et al (2022) are all papers that study the impact of the pandemic on the financial market. Volatility during the COVID-19 pandemic surpasses that of the 2008 financial crisis and is of particular interest.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover

2022

Finance Research Letters

View full text Add to dashboard Cite

“…In terms of finance and capital markets, researches have been performed to study the link between COVID-19 pandemic and financial aspects in the scope of banking [5][6][7][8][9], cryptocurrency [10][11][12][13][14][15][16], exchange rates [17][18], financial system [19], insurance [20], interest rates [21] and equity markets . In case of equity markets, the effects of COVID-19 outbreak has been investigated on the return [27-28, 41-43, 46] and volatility [26,32,[42][43][44] of the market in developed [22,29] and developing [39,45] economies. The bulk of these studies have found marked differences in the market behavior before and after the pandemic announcement -an increase in volatility and decrease in returns after the pandemic outbreak.…”

Section: Introductionmentioning

confidence: 99%

COVID-19: A Game-changer to Equity Markets?

Golmohammadi

Fazelabdolabadi²

2021

J. Hum. Earth Future

View full text Add to dashboard Cite

This article applies the effective transfer entropy methodology to quantify the information flow between equities in major global equity markets in Australia, Brazil, Canada, China, Germany, Iran, Japan, Qatar, Saudi Arabia, South Africa, South Korea, United Kingdom, and the United States – a pool of 2200 companies included. To account for COVID-19 impacts, the period of the study was extended over two years. The results show changes to the information flow pattern after COVID-19, with the largest changes being encountered in Australia, Brazil, Canada, Japan, and the United States – for their largest market participants (by market capitalization). In comparison, the Asian markets show less noticeable changes in their information flow pattern after COVID-19. On a sector level, most of the markets studied have seen substantial changes in the functionality of their sectors – in terms of being a transmitter or receiver of information – after COVID-19 appearance. The fraction of sectors with a complete change in their influencing role since COVID-19 has been over 70% in Australia, Canada, South Africa, and the United States. The financial services sector has retained its role - as being the most influencing sector - in 6 out of 13 markets considered after COVID-19. For most of the markets, the basic materials, communications, energy, and utilities sectors have retained an intermediate position in the information flow diagram, after COVID-19. The German market has been the only market, in which the main information transmitter and receiver sectors have remained unchanged, since COVID-19. The results suggest drastic moves in major global equity markets, which have been concurrent with the virus outbreak. Doi: 10.28991/HEF-2021-02-01-05 Full Text: PDF

show abstract

Backtesting VaR under the COVID-19 sudden changes in volatility

Cited by 10 publications

References 26 publications

The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic

The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic

COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover

COVID-19: A Game-changer to Equity Markets?

Contact Info

Product

Resources

About