Artikel
Arima-Garch models in estimating market risk using value at risk for the WIG20 index
This paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t-student, GED) and attempts to choose the model which best estimates VaR on a selected example. We considered logarithmic return rates for the WIG-20 index from 1999-2011. Then, on their basis we estimates various types of ARIMA-GARCH (1,1) models. Applying relevant models we calculated VaR for the long and short position. The differences between the models were settled on the basis of the Kupiec test.
- Sprache
-
Englisch
- Erschienen in
-
Journal: e-Finanse: Financial Internet Quarterly ; ISSN: 1734-039X ; Volume: 8 ; Year: 2012 ; Issue: 2 ; Pages: 25-33 ; Rzeszów: University of Information Technology and Management
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Financial Econometrics
- Thema
-
VaR
risk
GARCH
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Makiel, Kamil
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Information Technology and Management
- (wo)
-
Rzeszów
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Makiel, Kamil
- University of Information Technology and Management
Entstanden
- 2012
Ähnliche Objekte (12)
Value-at-Risk with Application of DCC-GARCH Model
Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models
Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid
GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks
Accurate value-at-risk forecast with the (good) old normal-GARCH model
Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Estimating the Value-at-Risk from High-frequency Data
Networks in risk spillovers: A multivariate GARCH perspective
Networks in risk spillovers: A Multivariate GARCH Perspective
An application of extreme value theory in estimating liquidity risk
Value-at-Risk with Application of DCC-GARCH Model
Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models
Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid
GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks
Accurate value-at-risk forecast with the (good) old normal-GARCH model
Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Estimating the Value-at-Risk from High-frequency Data
Networks in risk spillovers: A multivariate GARCH perspective
Networks in risk spillovers: A Multivariate GARCH Perspective
An application of extreme value theory in estimating liquidity risk
Value-at-Risk with Application of DCC-GARCH Model
Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models
Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid
GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks
Accurate value-at-risk forecast with the (good) old normal-GARCH model
Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Estimating the Value-at-Risk from High-frequency Data
Networks in risk spillovers: A multivariate GARCH perspective
Networks in risk spillovers: A Multivariate GARCH Perspective