Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 366, Issue 1, Pages 437-448Publisher
ELSEVIER
DOI: 10.1016/j.physa.2005.10.017
Keywords
FIGARCH; value-at-risk; Kupiec LR test; HYGARCH
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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 Nasdaq 100 futures prices. (c) 2005 Elsevier B.V. All rights reserved.
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