Israeli Risk Factors
 
The files enclosed contain the daily value of a group of risk factors relevant in Israel and the corresponding volatilities and correlation matrix (VCo). This is reported mainly in a fitted RiskMetricsTM format. The RiskMetricsTM format may contain a set of VCos, each corresponding to different exponential smoothing parameters and different exposure intervals. In addition to the standard, a set of Vcos was added with an exposure interval of 10 business days, based on weekly returns, where VCo is computed for equal weights. The factors are updated daily in the View Files section of this site. The names and content of the files in each VCo set is described below.
  • FactorsToday: This file contains the values of factors relevant to the Israeli economy in several formats. In the “line” file, the first line contains the titles of the factors, the second line contains the factor values in interest rate terms (for factors based on bond prices) and the third line contains the factor values in price terms (for factors based on bond prices). The standard RiskMetricsTM format is applicable for the factor names with the exception that '.' is replaced by '_'. In addition, the non-standard factors have nonstandard names.
  • VCoStd: This file contains the updated volatility / correlation values in standard RiskMetricsTM format
  • VCoStdUSA: This file contains the updated volatility / correlation values in standard RiskMetricsTM format, USD based.
  • VCoStdUSANoSal: This file contains the updated volatility / correlation values in standard RiskMetricsTM format, USD based without the Sal factor.
  • VCoFlex: This file contains the updated volatility / correlation values, in nonstandard RiskMetricsTM format. The flexible version contains additional factors with nonstandard maturities (for Israeli bonds) and nonstandard names for nonstandard factors.
  • VCoFlexUSA: This file contains the updated volatility / correlation values in nonstandard RiskMetricsTM format, USD based. The flexible version contains additional factors with nonstandard maturities (for Israeli bonds) and nonstandard names for nonstandard factors.
  • Archive: Users that are permissioned to view the archive can download four files (two for each base – ILS and USD) with the historic values for the above factors. The first line of each file contains the factor names. The Ribit.csv (USD Ribit.csv ) file contains values in interest rate terms (for factors based on bond prices). The Price.csv (USDPrice.csv ) file contains values in price terms (for factors based on bond prices). The standard RiskMetricsTM format is applicable for the factor names with the exception that '.' is replaced by '_'. In addition, the non-standard factors have nonstandard names.
  • Main Key: This file includes a list of all factor names and a description of the nonstandard RiskMetricsTM names
Names and Contents of the Files in Each VCo Set.
(YYYYMMDD stands for the date)
Based on Exposure Interval Smoothing Parameter Volatility or Correlation File name
Daily returns 1 day 0.94 Correlation YYYYMMDD.dcf
Daily returns 1 day 0.94 Volatility YYYYMMDD.dvf
Daily returns 1 day 1 Correlation YYYYMMDD.dce
Daily returns 1 day 1 Volatility YYYYMMDD.dve
Daily returns 10 days 0.96 Correlation YYYYMMDD.tcf
Daily returns 10 days 0.96 Volatility YYYYMMDD.tvf
Weekly returns 10 days 1 Correlation YYYYMMDD.tce
Weekly returns 10 days 1 Volatility YYYYMMDD.tve
Daily returns 20 days 0.97 Correlation YYYYMMDD.mcf
Daily returns 20 days 0.97 Volatility YYYYMMDD.mvf