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Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio

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  • Asmara Jamaleh

    (Servizio Studi e Analisi Finanziaria Banca Commerciale Italiana, Milano)

Abstract

A Self-Exciting Threshold AutoRegressive (SETAR) model is applied to the Italian stock market volatility, to obtain volatility forecasts and Value-at-Risk (VaR) estimates. There is almost nothing dealing with Italian markets in the literature of Threshold models, which have never been used for VaR purposes up to now. The SETAR model's performance is compared to competitive linear and GARCH specifications and to the JP Morgan's RiskMetrics™ method. Here, the SETAR model shows the best performance in predicting volatility and VaR values, thanks to its ability in capturing some major volatility's dynamics. Only the Threshold model is able to distinguish an extraordinary from a persistent market shock. Its superiority is more evident during critical market periods. As also for the tendency to over/underestimate VaR values, the SETAR model presents major advantages. This is crucial in investment decisions. The model selection is performed using Tsay's procedure, whose effectiveness is successfully tested here.

Suggested Citation

  • Asmara Jamaleh, 2001. "Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio," Rivista di Politica Economica, SIPI Spa, vol. 91(2), pages 79-132, February.
    • Handle: RePEc:rpo:ripoec:v:91:y:2001:i:2:p:79-132
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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