University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models 57 82 23828 10.22108/amf.2018.107307.1189 FA Mojtaba Biek Khormizi Financial Engineering, Faculty of Industrial Engineering, Islamic Azad University, South Tehran Branch, Iran Meysam Rafei General Economic Affairs,Faculty of Economics, Kharazmi University, Tehran, Iran Journal Article 2017 10 19 <strong>Objective: </strong>Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks. <br /><strong>Method:</strong> Applying criteria information, this study shows that the best model for measuring the volatility of coin’s futures return, during the period 2013/12/17 to 2016/10/27, is MA(1)-FIAPARCH-CHUNG (2, d, 1). According to the applied model, the VAR, for short- and long-term positions, was calculated and, then, to confirm the accuracy of the applied VAR, Kupic test was run. <br /><strong>Resutls: </strong>Our findings indicate that asymmetry evaluation and long-term memory of return volatility can ensure a more accurate VAR model which enhances the quality of the risk management process in the Tehran Futures Market. <strong>Objective: </strong>Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks. <br /><strong>Method:</strong> Applying criteria information, this study shows that the best model for measuring the volatility of coin’s futures return, during the period 2013/12/17 to 2016/10/27, is MA(1)-FIAPARCH-CHUNG (2, d, 1). According to the applied model, the VAR, for short- and long-term positions, was calculated and, then, to confirm the accuracy of the applied VAR, Kupic test was run. <br /><strong>Resutls: </strong>Our findings indicate that asymmetry evaluation and long-term memory of return volatility can ensure a more accurate VAR model which enhances the quality of the risk management process in the Tehran Futures Market. https://amf.ui.ac.ir/article_23828_81700a5cdbe048fabeab12acf8a13876.pdf