Quantitative Finance and Economics, 2018, 2(3): 615-636. doi: 10.3934/QFE.2018.3.615 Research article Special Issue

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Cyclical patterns in risk indicators based on financial market infrastructure transaction data

Monique Timmermans, Ronald Heijmans, Hennie Daniels

¹ De Nederlandsche Bank, Westeinde 1, 1017 ZN Amsterdam, Netherlands
² Tilburg University, Warandelaan 2, 5037 AB Tilburg, Netherlands
³ Erasmus University Rotterdam, Burgemeester Oudlaan 50, 3062 PA Rotterdam, Netherlands

Received: , Accepted: , Published:

Special Issue: Systemic Risk Measurement

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This paper studies cyclical patterns in risk indicators based on TARGET2 transaction data. These indicators provide information on network properties, operational aspects and links to ancillary systems. We compare the performance of two di erent ARIMA dummy models to the TBATS state space model. The results show that the forecasts of the ARIMA dummy models perform better than the TBATS model. We also find that there is no clear di erence between the performances of the two ARIMA dummy models. The model with the fewest explanatory variables is therefore preferred.

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