Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio

A Self-Exciting Threshold AutoRegressive (SETAR) model is applied to the Italian stock market volatility, to obtain volatility forecasts and Value-at-Risk (VaR) estimates. There is almost nothing dealing with Italian markets in the literature of Threshold models, which have never been used for VaR purposes up to now. The SETAR model's performance is compared to competitive linear and GARCH specifications and to the JP Morgan's RiskMetrics™ method. Here, the SETAR model shows the best performance in predicting volatility and VaR values, thanks to its ability in capturing some major volatility's dynamics. Only the Threshold model is able to distinguish an extraordinary from a persistent market shock. Its superiority is more evident during critical market periods. As also for the tendency to over/underestimate VaR values, the SETAR model presents major advantages. This is crucial in investment decisions. The model selection is performed using Tsay's procedure, whose effectiveness is successfully tested here.