期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2016
卷号：8
期号：1
页码：1
DOI：10.5539/ijef.v8n1p1
出版社：Canadian Center of Science and Education
摘要：This paper aims to propose the augmented GJR-GARCH (GJR-GARCHM) model that extends the GJR-GARCH model by comprising overnight returns volatility (ONV), daily high-low prices range (PK), and fear index (VIX) as explanatory variables for the GJR’s variance equation, respectively. The proposed models are used to estimate the daily value-at-risk values and evaluate their downside risk management performance for the SPDRs covering the period from 2009 to 2014. Empirical results show that the GJR-GARCHM model outperforms the GJR-GARCH model for most cases, suggesting that the GJR-GARCH-based VaR forecasts can be moderately improved with the additional information embodied in the ONV, PK and VIX volatility estimators. In addition, daily high-low prices range and VIX are far more informative than the overnight volatility estimator for improving the GJR-GARCH-based VaR forecasts. Risk managers can employ the proposed models for estimating and controling the potential loss of ETFs in the face of financial catastrophes.
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