Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83774
Authors: 
Benavides, Guillermo
Year of Publication: 
2010
Series/Report no.: 
Working Papers, Banco de México 2010-12
Abstract: 
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.
Subjects: 
bootstrapping
inflation
inflation-indexed futures
Mexico
Value at Risk
volatility persistence
JEL: 
C15
C22
C53
E31
E37
Document Type: 
Working Paper
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