Investigating the Value at Risk of Gold Coin Future Market through Wavelet Analysis Approach

The most common criterion used to measure market risk is the value at risk method. The value at risk is the maximum loss which may occur over a specified time period and considering a specified degree of confidence in a portfolio of assets. In the current research, data related to coin future market price indicator have been considered. The daily data used were gathered over a time period from 2008 to 2017.
According to the results obtained from this study, coin future price data did not have a normal distribution; accordingly, the value at risk in this market was estimated using TGARCH method. Time series was analyzed using wavelet analysis over 7 time periods of 2-128 days. In short time periods the normal distribution outperformed other distributions, but in longer time periods, the skewed-t distribution outperformed other distributions. In the sales situation, this threshold behavior is observed over a longer time period. The hope of increased future price by investors can somewhat justify these behavior changes over time