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Paper Information

Journal:   FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)   winter 2019 , Volume 9 , Number 37 ; Page(s) 187 To 210.
 
Paper: 

Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach

 
 
Author(s):  KHANMOHAMMADI MOHAMMAD HAMED, EBRAHIMI MEHRNOOSH
 
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Abstract: 
The most common criterion used to measure market risk is the value at risk method. The value at risk is the maximum loss which may occur over a specified time period and considering a specified degree of confidence in a portfolio of assets. In the current research, data related to coin future market price indicator have been considered. The daily data used were gathered over a time period from 2008 to 2017. According to the results obtained from this study, coin future price data did not have a normal distribution; accordingly, the value at risk in this market was estimated using TGARCH method. Time series was analyzed using wavelet analysis over 7 time periods of 2-128 days. In short time periods the normal distribution outperformed other distributions, but in longer time periods, the skewed-t distribution outperformed other distributions. In the sales situation, this threshold behavior is observed over a longer time period. The hope of increased future price by investors can somewhat justify these behavior changes over time.
 
Keyword(s): Value at risk,Wavelet analysis,Coin future price,TGARCH
 
 
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Citations: 
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APA: Copy

KHANMOHAMMADI, M., & EBRAHIMI, M. (2019). Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(37 ), 187-210. https://www.sid.ir/en/journal/ViewPaper.aspx?id=667623



Vancouver: Copy

KHANMOHAMMADI MOHAMMAD HAMED, EBRAHIMI MEHRNOOSH. Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT). 2019 [cited 2021June15];9(37 ):187-210. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=667623



IEEE: Copy

KHANMOHAMMADI, M., EBRAHIMI, M., 2019. Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), [online] 9(37 ), pp.187-210. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=667623.



 
 
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