PL EN


2012 | 8 | 2 | 25-33
Article title

ARIMA-GARCH MODELS IN ESTIMATING MARKET RISK USING VALUE AT RISK FOR THE WIG20 INDEX

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Content
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Languages of publication
EN
Abstracts
EN
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.
Keywords
EN
VaR   risk   GARCH  
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author
References
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Publication order reference
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YADDA identifier
bwmeta1.element.desklight-2c203796-3bb0-4944-851b-f908e48b7e8d
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