MIDAS models in banking sector – systemic risk comparison

• Authors: Gurgul Henryk , Mestel Roland , Syrek Robert

Abstracts

This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in modelling conditional volatilities. The long-run component is modeled using realized volatility. The conditional correlation, second step of modelling, is described with DCC-MIDAS model. This is novel approach in respect to classical TARCH and DCC modelling. Whereas the information contained in macroeconomic variables, if available, can help to predict short and long-term components, this is the promising option in improvement of systemic risk assessment.

Keywords

systemic risk measures; GARCH-MIDAS; DCC-MIDAS

• Publisher: Wydawnictwo AGH
• Journal: Managerial Economics
• Year: 2017
• Volume: 18
• Issue: 2
• Pages: 165-181

Contributors

author

Gurgul Henryk

• AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics

author

Mestel Roland

• University of Graz, Institute of Banking and Finance

author

Syrek Robert

• Jagiellonian University in Krakow, Institute of Economics, Finance and Management