Grané Chávez, AureaVeiga, HelenaUniversidad Carlos III de Madrid. Departamento de Estadística2007-05-182007-05-182007-05https://hdl.handle.net/10016/826In this paper we estimate, for several investment horizons, minimum capital risk requirements for short and long positions, using the unconditional distribution of three daily indexes futures returns and a set of GARCH-type and stochastic volatility models. We consider the possibility that errors follow a t-Student distribution in order to capture the kurtosis of the returns distributions. The results suggest that an accurate modeling of extreme returns obtained for long and short trading investment positions is possible with a simple autoregressive stochastic volatility model. Moreover, modeling volatility as a fractional integrated process produces, in general, excessive volatility persistence and consequently leads to large minimum capital risk requirement estimates. The performance of models is assessed with the help of out-of-sample tests and p-values of them are reported.372411 bytesapplication/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaMinimum capital risk requirementMoving block bootstrapStochastic volatilityVolatility persistenceworking paperEstadísticaopen accessws074713