global-journal-of-management-and-business-research-c-finance Global Journal of Management and Business Research - C: Finance 0975-5853 2249-4588 Global Journals Publishing Group Incorporated 56700 Estimating the United States Dollar Index Returns’ Value at Risk: Empirical Evidence from RiskMetrics and Simultaneous Bootstrap Quantile Regression Methods CharmeMusolongo Mawete CHINA, Jiangxi University of Finance and Economics 15 01 2020 20 C1 21 30

Two methods, namely simultaneous bootstrap quantile regression and RiskMetrics, are backtesting and compared to establish which one is a better Value at Risk (VaR) estimate for the United States dollar index returns. Using daily closing prices and the nearby contract settlement prices from 20 November 1985 to 15 February 2017, the results of this empirical research point out that at 5% of the significance level, RiskMetrics with IGARCH (1, 1) underestimates VaR for the next trading day. From the backtest findings, the number of violations in the RiskMetrics method is more than in simultaneous bootstrap quantile regression even after controlling for marginal effects of the index futures returns and volatilities in both spot and futures markets.

 value at risk riskmetrics simultaneous bootstrap quantile regression backtest Full Text

Two methods, namely simultaneous bootstrap quantile regression and RiskMetrics, are backtesting and compared to establish which one is a better Value at Risk (VaR) estimate for the United States dollar index returns. Using daily closing prices and the nearby contract settlement prices from 20 November 1985 to 15 February 2017, the results of this empirical research point out that at 5% of the significance level, RiskMetrics with IGARCH (1, 1) underestimates VaR for the next trading day. From the backtest findings, the number of violations in the RiskMetrics method is more than in simultaneous bootstrap quantile regression even after controlling for marginal effects of the index futures returns and volatilities in both spot and futures markets