Arbeitspapier

Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To analyze the VaR with time horizons of more than one trading day bootstrapping simulations were applied. The results show that these models are relatively accurate for time horizons of one trading day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in the VaR, it is possible to have certain confidence about the future range of inflation (or extreme inflation values) for a specified time horizon.

Sprache
Englisch

Erschienen in
Series: Working Papers ; No. 2010-12

Klassifikation
Wirtschaft
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Thema
bootstrapping
inflation
inflation-indexed futures
Mexico
Value at Risk
volatility persistence
Index-Futures
Inflation
Volatilität
Bootstrap-Verfahren
Risikomaß
Mexiko

Ereignis
Geistige Schöpfung
(wer)
Benavides, Guillermo
Ereignis
Veröffentlichung
(wer)
Banco de México
(wo)
Ciudad de México
(wann)
2010

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Benavides, Guillermo
  • Banco de México

Entstanden

  • 2010

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