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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Papers ; No. 2010-12
- Classification
-
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
- Subject
-
bootstrapping
inflation
inflation-indexed futures
Mexico
Value at Risk
volatility persistence
Index-Futures
Inflation
Volatilität
Bootstrap-Verfahren
Risikomaß
Mexiko
- Event
-
Geistige Schöpfung
- (who)
-
Benavides, Guillermo
- Event
-
Veröffentlichung
- (who)
-
Banco de México
- (where)
-
Ciudad de México
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Benavides, Guillermo
- Banco de México
Time of origin
- 2010
Other Objects (12)
Asymmetric volatility effects in risk management: An empirical analysis using a stock index futures
Using seasonal models to forecast short-run inflation in Mexico
Estimating the short-run effect on market-access of the construction of better transportation infrastructure in Mexico
Covered interest parity: A stochastic volatility approach to estimate the neutral band
Around-the-clock USD/MXN volatility: Macroeconomic announcement spillovers and FX market intervention mechanisms
How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
Uncertainty and exchange rate volatility: The case of Mexico
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Comovimiento y concordancia cíclica del empleo en los estados Mexicanos
Price competition on network
Key sectors in economic development: A perspective from input-output linkages and cross-sector misallocation
Geldschein, 10 Pesos, 1.8.1931
Asymmetric volatility effects in risk management: An empirical analysis using a stock index futures
Using seasonal models to forecast short-run inflation in Mexico
Estimating the short-run effect on market-access of the construction of better transportation infrastructure in Mexico
Covered interest parity: A stochastic volatility approach to estimate the neutral band
Around-the-clock USD/MXN volatility: Macroeconomic announcement spillovers and FX market intervention mechanisms
How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
Uncertainty and exchange rate volatility: The case of Mexico
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Comovimiento y concordancia cíclica del empleo en los estados Mexicanos
Price competition on network
Key sectors in economic development: A perspective from input-output linkages and cross-sector misallocation
Geldschein, 10 Pesos, 1.8.1931
Asymmetric volatility effects in risk management: An empirical analysis using a stock index futures
Using seasonal models to forecast short-run inflation in Mexico
Estimating the short-run effect on market-access of the construction of better transportation infrastructure in Mexico
Covered interest parity: A stochastic volatility approach to estimate the neutral band
Around-the-clock USD/MXN volatility: Macroeconomic announcement spillovers and FX market intervention mechanisms
How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
Uncertainty and exchange rate volatility: The case of Mexico
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Comovimiento y concordancia cíclica del empleo en los estados Mexicanos
Price competition on network
Key sectors in economic development: A perspective from input-output linkages and cross-sector misallocation