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

• Authors: Kamil Makiel
• 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

• Publisher: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
• Journal: Finansowy Kwartalnik Internetowy e-Finanse
• Year: 2012
• Volume: 8
• Issue: 2
• Pages: 25-33

Contributors

author

Kamil Makiel