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.
- Language
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Englisch
- Bibliographic citation
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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
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Financial Econometrics
- Subject
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VaR
risk
GARCH
- Event
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Geistige Schöpfung
- (who)
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Makiel, Kamil
- Event
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Veröffentlichung
- (who)
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University of Information Technology and Management
- (where)
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Rzeszów
- (when)
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2012
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Makiel, Kamil
- University of Information Technology and Management
Time of origin
- 2012
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